MOD: Update InstrumentDefMsg

Author: threecgreen

CHANGELOG.md

@@ -5,6 +5,9 @@
 - Removed `metadata.list_compressions` (redundant with docs)
 - Removed `metadata.list_encodings` (redundant with docs)
 - Removed optional `start` and `end` params from `metadata.list_schemas` (redundant)
+- Removed `related` and `related_security_id` from definition schema
+- Added `instrument_class`, `strike_price`, and `strike_price_currency` to definition
+  schema
 
 ## 0.9.0 - 2023-03-10
 - Removed `record_count` property from Bento class

databento/common/data.py

@@ -114,7 +114,7 @@ def get_deriv_ba_types(level: int) -> List[Tuple[str, Union[type, str]]]:
     ("contract_multiplier", np.int32),
     ("decay_quantity", np.int32),
     ("original_contract_size", np.int32),
-    ("related_security_id", np.uint32),
+    ("reserved1", "S4"),
     ("trading_reference_date", np.uint16),
     ("appl_id", np.int16),
     ("maturity_year", np.uint16),
@@ -131,7 +131,11 @@ def get_deriv_ba_types(level: int) -> List[Tuple[str, Union[type, str]]]:
     ("security_type", "S7"),  # 7 byte chararray
     ("unit_of_measure", "S31"),  # 31 byte chararray
     ("underlying", "S21"),  # 21 byte chararray
-    ("related", "S21"),  # 21 byte chararray
+    ("strike_price_currency", "S4"),
+    ("instrument_class", "S1"),
+    ("reserved2", "S2"),
+    ("strike_price", np.int64),
+    ("reserved3", "S6"),
     ("match_algorithm", "S1"),  # 1 byte chararray
     ("md_security_trading_status", np.uint8),
     ("main_fraction", np.uint8),
@@ -199,10 +203,10 @@ def get_deriv_ba_types(level: int) -> List[Tuple[str, Union[type, str]]]:
     "security_type",
     "unit_of_measure",
     "underlying",
-    "related",
     "match_algorithm",
     "security_update_action",
     "user_defined_instrument",
+    "strike_price_currency",
 ]
 
 DEFINITION_PRICE_COLUMNS = [
@@ -213,6 +217,7 @@ def get_deriv_ba_types(level: int) -> List[Tuple[str, Union[type, str]]]:
     "max_price_variation",
     "trading_reference_price",
     "min_price_increment_amount",
+    "strike_price",
 ]
 
 DEFINITION_TYPE_MAX_MAP = {
@@ -261,14 +266,26 @@ def get_deriv_ba_fields(level: int) -> List[str]:
     "volume",
 ]
 
-STATUS_COLUMNS = [x for x in np.dtype(STATUS_MSG).names or ()]
-STATUS_COLUMNS.remove("ts_recv")  # Index
+STATUS_DROP_COLUMNS = ["ts_recv"]
+DEFINITION_DROP_COLUMNS = [
+    "ts_recv",
+    "length",
+    "rtype",
+    "reserved1",
+    "reserved2",
+    "reserved3",
+    "dummy",
+]
+
+STATUS_COLUMNS = [
+    x for x in (np.dtype(STATUS_MSG).names or ()) if x not in STATUS_DROP_COLUMNS
+]
 
-DEFINITION_COLUMNS = [x for x in np.dtype(DEFINITION_MSG).names or ()]
-DEFINITION_COLUMNS.remove("ts_recv")  # Index
-DEFINITION_COLUMNS.remove("length")
-DEFINITION_COLUMNS.remove("rtype")
-DEFINITION_COLUMNS.remove("dummy")
+DEFINITION_COLUMNS = [
+    x
+    for x in (np.dtype(DEFINITION_MSG).names or ())
+    if x not in DEFINITION_DROP_COLUMNS
+]
 
 
 COLUMNS = {

tests/test_historical_bento.py

@@ -9,6 +9,7 @@
 import pandas as pd
 import pytest
 import zstandard
+from databento.common.data import DEFINITION_DROP_COLUMNS
 from databento.common.dbnstore import DBNStore
 from databento.common.enums import Schema, SType
 from databento.historical.error import BentoError
@@ -287,7 +288,7 @@ def test_to_df_drop_columns(
     schema: Schema,
 ) -> None:
     """
-    Test that rtype, length, and dummy columns are dropped when
+    Test that rtype, length, reserved, and dummy columns are dropped when
     calling to_df().
     """
     # Arrange
@@ -298,9 +299,8 @@ def test_to_df_drop_columns(
     df = data.to_df()
 
     # Assert
-    assert "length" not in df
-    assert "rtype" not in df
-    assert "dummy" not in df
+    for col in DEFINITION_DROP_COLUMNS:
+        assert col not in df.columns
 
 
 def test_to_df_with_mbo_data_returns_expected_record(