ADD: Python reconnect feature

Author: nmacholl

CHANGELOG.md

@@ -1,10 +1,19 @@
 # Changelog
 
-## 0.37.1 - TBD
+## 0.38.0 - TBD
+
+This release adds a new feature to the `Live` client for automatically reconnecting when an unexpected disconnection occurs.
 
 #### Enhancements
+- Added `ReconnectPolicy` enumeration
+- Added `reconnect_policy` parameter to the `Live` client to specify client reconnection behavior
+- Added `Live.add_reconnect_callback` method for specifying a callback to handle client reconnections
 - Added platform information to the user agent reported by the `Historical` and `Live` clients
 
+#### Breaking changes
+- Calling `Live.stop` will now clear all user streams and callbacks
+- Renamed `Session` to `LiveSession` in the `databento.live.session` module
+
 ## 0.37.0 - 2024-07-09
 
 #### Enhancements

databento/__init__.py

@@ -26,6 +26,7 @@
 from databento.common.enums import FeedMode
 from databento.common.enums import HistoricalGateway
 from databento.common.enums import Packaging
+from databento.common.enums import ReconnectPolicy
 from databento.common.enums import RecordFlags
 from databento.common.enums import RollRule
 from databento.common.enums import SplitDuration
@@ -70,6 +71,7 @@
     "InstrumentMap",
     "Live",
     "Packaging",
+    "ReconnectPolicy",
     "RollRule",
     "Schema",
     "SplitDuration",

databento/common/enums.py

@@ -220,3 +220,10 @@ class RecordFlags(StringyMixin, IntFlag):  # type: ignore
     F_MBP = 16
     F_BAD_TS_RECV = 8
     F_MAYBE_BAD_BOOK = 4
+
+
+@unique
+@coercible
+class ReconnectPolicy(StringyMixin, str, Enum):
+    NONE = "none"
+    RECONNECT = "reconnect"

databento/common/types.py

@@ -6,6 +6,7 @@
 from typing import Union
 
 import databento_dbn
+import pandas as pd
 
 
 DBNRecord = Union[
@@ -31,6 +32,7 @@
 
 RecordCallback = Callable[[DBNRecord], None]
 ExceptionCallback = Callable[[Exception], None]
+ReconnectCallback = Callable[[pd.Timestamp, pd.Timestamp], None]
 
 _T = TypeVar("_T")