MOD: With pretty_px, replace null prices with NaN

Author: Zach Banks

databento/common/dbnstore.py

@@ -48,6 +48,9 @@
     Metadata,
 ]
 
+INT64_NULL = 9223372036854775807
+NAN = float("NaN")
+
 
 logger = logging.getLogger(__name__)
 
@@ -420,11 +423,11 @@ def _apply_pretty_px(self, df: pd.DataFrame) -> pd.DataFrame:
                 or column.startswith("bid_px")  # MBP
                 or column.startswith("ask_px")  # MBP
             ):
-                df[column] = df[column] * 1e-9
+                df[column] = df[column].replace(INT64_NULL, NAN) * 1e-9
 
         if self.schema == Schema.DEFINITION:
             for column in DEFINITION_PRICE_COLUMNS:
-                df[column] = df[column] * 1e-9
+                df[column] = df[column].replace(INT64_NULL, NAN) * 1e-9
 
         return df
 
@@ -882,7 +885,8 @@ def to_csv(
             `int` to `pd.Timestamp` tz-aware (UTC).
         pretty_px : bool, default True
             If all price columns should be converted from `int` to `float` at
-            the correct scale (using the fixed precision scalar 1e-9).
+            the correct scale (using the fixed precision scalar 1e-9). Null
+            prices are replaced with an empty string.
         map_symbols : bool, default True
             If symbology mappings from the metadata should be used to create
             a 'symbol' column, mapping the instrument ID to its native symbol for
@@ -925,7 +929,8 @@ def to_df(
             `int` to `pd.Timestamp` tz-aware (UTC).
         pretty_px : bool, default True
             If all price columns should be converted from `int` to `float` at
-            the correct scale (using the fixed precision scalar 1e-9).
+            the correct scale (using the fixed precision scalar 1e-9). Null
+            prices are replaced with NaN.
         map_symbols : bool, default True
             If symbology mappings from the metadata should be used to create
             a 'symbol' column, mapping the instrument ID to its native symbol for

tests/test_historical_bento.py

@@ -426,6 +426,21 @@ def test_to_df_with_pretty_px_with_various_schemas_converts_prices_as_expected(
         assert isinstance(df[column].iloc(0)[1], float)
     # TODO(cs): Check float values once display factor fixed
 
+def test_to_df_with_pretty_px_handles_null(
+    test_data: Callable[[Schema], bytes],
+) -> None:
+    # Arrange
+    stub_data = test_data(Schema.DEFINITION)
+    data = DBNStore.from_bytes(data=stub_data)
+
+    # Act
+    df_plain = data.to_df(pretty_px=False)
+    df_pretty = data.to_df(pretty_px=True)
+
+    # Assert
+    assert all(df_plain["strike_price"] == 9223372036854775807)
+    assert all(np.isnan(df_pretty["strike_price"]))
+
 
 @pytest.mark.parametrize(
     "expected_schema",