FIX: Fix timestamp precision in DBNStore.to_json

Author: nmacholl

CHANGELOG.md

@@ -4,6 +4,7 @@
 
 #### Bug fixes
 - Fixed an issue where the index column was not serialized with `DBNStore.to_json`
+- Fixed an issue where timestamps serialized by `DBNStore.to_json` had reduced precision
 
 ## 0.19.0 - 2023-08-25
 

databento/common/dbnstore.py

@@ -1050,6 +1050,7 @@ def to_json(
                 frame.to_json(
                     json_path,
                     orient="records",
+                    date_unit="ns",
                     lines=True,
                 )
 

tests/test_historical_bento.py

@@ -636,19 +636,19 @@ def test_mbo_to_json_with_all_options_writes_expected_file_to_disk(
     # Assert
     written = path.read_text()
     assert written.strip() == (
-        '{"ts_recv":1609160400000,"ts_event":1609160400000,"rtype":160,"publisher_id":1,"instrument_id":5482,'
+        '{"ts_recv":1609160400000704000,"ts_event":1609160400000429000,"rtype":160,"publisher_id":1,"instrument_id":5482,'
         '"action":"C","side":"A","price":3722.75,"size":1,"channel_id":0,"order_id":647784973705,"flags":128,'
         '"ts_in_delta":22993,"sequence":1170352,"symbol":"ESH1"}'
         "\n"
-        '{"ts_recv":1609160400000,"ts_event":1609160400000,"rtype":160,"publisher_id":1,"instrument_id":5482,'
+        '{"ts_recv":1609160400000711000,"ts_event":1609160400000431000,"rtype":160,"publisher_id":1,"instrument_id":5482,'
         '"action":"C","side":"A","price":3723.0,"size":1,"channel_id":0,"order_id":647784973631,"flags":128,'
         '"ts_in_delta":19621,"sequence":1170353,"symbol":"ESH1"}'
         "\n"
-        '{"ts_recv":1609160400000,"ts_event":1609160400000,"rtype":160,"publisher_id":1,"instrument_id":5482,'
+        '{"ts_recv":1609160400000728000,"ts_event":1609160400000433000,"rtype":160,"publisher_id":1,"instrument_id":5482,'
         '"action":"C","side":"A","price":3723.25,"size":1,"channel_id":0,"order_id":647784973427,"flags":128,'
         '"ts_in_delta":16979,"sequence":1170354,"symbol":"ESH1"}'
         "\n"
-        '{"ts_recv":1609160400000,"ts_event":1609160400000,"rtype":160,"publisher_id":1,"instrument_id":5482,'
+        '{"ts_recv":1609160400000740000,"ts_event":1609160400000434000,"rtype":160,"publisher_id":1,"instrument_id":5482,'
         '"action":"C","side":"A","price":3723.5,"size":1,"channel_id":0,"order_id":647784973094,"flags":128,'
         '"ts_in_delta":17883,"sequence":1170355,"symbol":"ESH1"}'
     )
@@ -716,22 +716,22 @@ def test_mbp_1_to_json_with_all_options_writes_expected_file_to_disk(
     # Assert
     written = path.read_text()
     assert written.strip() == (
-        '{"ts_recv":1609160400006,"ts_event":1609160400006,"rtype":1,"publisher_id":1,"instrument_id":5482,'
+        '{"ts_recv":1609160400006136000,"ts_event":1609160400006001000,"rtype":1,"publisher_id":1,"instrument_id":5482,'
         '"action":"A","side":"A","depth":0,"price":3720.5,"size":1,"flags":128,"ts_in_delta":17214,'
         '"sequence":1170362,"bid_px_00":3720.25,"ask_px_00":3720.5,"bid_sz_00":24,"ask_sz_00":11,'
         '"bid_ct_00":15,"ask_ct_00":9,"symbol":"ESH1"}'
         "\n"
-        '{"ts_recv":1609160400006,"ts_event":1609160400006,"rtype":1,"publisher_id":1,"instrument_id":5482,'
+        '{"ts_recv":1609160400006246000,"ts_event":1609160400006146000,"rtype":1,"publisher_id":1,"instrument_id":5482,'
         '"action":"A","side":"A","depth":0,"price":3720.5,"size":1,"flags":128,"ts_in_delta":18858,'
         '"sequence":1170364,"bid_px_00":3720.25,"ask_px_00":3720.5,"bid_sz_00":24,"ask_sz_00":12,'
         '"bid_ct_00":15,"ask_ct_00":10,"symbol":"ESH1"}'
         "\n"
-        '{"ts_recv":1609160400007,"ts_event":1609160400007,"rtype":1,"publisher_id":1,"instrument_id":5482,'
+        '{"ts_recv":1609160400007159000,"ts_event":1609160400007044000,"rtype":1,"publisher_id":1,"instrument_id":5482,'
         '"action":"A","side":"B","depth":0,"price":3720.25,"size":2,"flags":128,"ts_in_delta":18115,'
         '"sequence":1170365,"bid_px_00":3720.25,"ask_px_00":3720.5,"bid_sz_00":26,"ask_sz_00":12,'
         '"bid_ct_00":16,"ask_ct_00":10,"symbol":"ESH1"}'
         "\n"
-        '{"ts_recv":1609160400007,"ts_event":1609160400007,"rtype":1,"publisher_id":1,"instrument_id":5482,'
+        '{"ts_recv":1609160400007260000,"ts_event":1609160400007169000,"rtype":1,"publisher_id":1,"instrument_id":5482,'
         '"action":"C","side":"A","depth":0,"price":3720.5,"size":1,"flags":128,"ts_in_delta":17361,'
         '"sequence":1170366,"bid_px_00":3720.25,"ask_px_00":3720.5,"bid_sz_00":26,"ask_sz_00":11,'
         '"bid_ct_00":16,"ask_ct_00":9,"symbol":"ESH1"}'