ADD: Add symbol mapping message to kissa, expose symbol in resolver interface

Author: renan-databento

databento/common/bento.py

@@ -53,6 +53,7 @@ def _get_index_column(self) -> str:
                 Schema.OHLCV_1H,
                 Schema.OHLCV_1D,
                 Schema.GATEWAY_ERROR,
+                Schema.SYMBOL_MAPPING,
             )
             else "ts_recv"
         )

databento/common/data.py

@@ -176,6 +176,14 @@ def get_deriv_ba_types(level: int) -> List[Tuple[str, Union[type, str]]]:
     + [
         ("error", "S64"),
     ],
+    Schema.SYMBOL_MAPPING: RECORD_HEADER
+    + [
+        ("stype_in_symbol", "S22"),
+        ("stype_out_symbol", "S22"),
+        ("dummy", "S4"),
+        ("start_ts", np.uint64),
+        ("end_ts", np.uint64),
+    ],
 }
 
 

databento/common/enums.py

@@ -51,6 +51,7 @@ class Schema(Enum):
     STATISTICS = "statistics"
     STATUS = "status"
     GATEWAY_ERROR = "gateway_error"
+    SYMBOL_MAPPING = "symbol_mapping"
 
 
 @unique

databento/common/parsing.py

@@ -342,6 +342,8 @@ def schema_to_int(schema: Schema) -> int:
         return 11
     elif schema == Schema.GATEWAY_ERROR:
         return 12
+    elif schema == Schema.SYMBOL_MAPPING:
+        return 13
     else:
         raise NotImplementedError(
             f"The enum value '{schema.value}' "
@@ -376,6 +378,8 @@ def int_to_schema(value: int) -> Schema:
         return Schema.STATUS
     elif value == 12:
         return Schema.GATEWAY_ERROR
+    elif value == 13:
+        return Schema.SYMBOL_MAPPING
     else:
         raise NotImplementedError(
             f"The int value '{value}' " f"cannot be represented with the enum",

tests/test_historical_bento.py

@@ -226,6 +226,7 @@ def test_replay_with_stub_data_record_passes_to_callback(self) -> None:
                 Schema.STATISTICS,
                 Schema.DEFINITION,
                 Schema.GATEWAY_ERROR,
+                Schema.SYMBOL_MAPPING,
             )
         ],
     )