VER: Release 0.18.0

See release notes.

CHANGELOG.md

@@ -1,5 +1,18 @@
 # Changelog
 
+## 0.18.0 - 2024-05-14
+
+### Breaking changes
+- Changed `FlagSet` to be more class-like:
+ - Added predicate methods and setters for each bit flag
+ - Improved string formatting
+ - Removed bitwise operators. Bitwise operations can be performed by first casting to a
+ `std::uint8_t` or calling the `Raw()` method
+- Changed format of `display_factor` and `price_ratio` to a fixed-precision decimal for
+ `InstrumentDefMsg` and `InstrumentDefMsgV1` to match existing values and DBN crate
+- Changed format of `unit_of_measure_qty` to a fixed-precision decimal for
+ `InstrumentDefMsgV1` to match `InstrumentDefMsg`
+
 ## 0.17.1 - 2024-04-08
 
 ### Enhancements

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.17.1 LANGUAGES CXX)
+project("databento" VERSION 0.18.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #

cmake/SourcesAndHeaders.cmake

@@ -6,6 +6,14 @@ set(headers
  include/databento/dbn.hpp
  include/databento/dbn_decoder.hpp
  include/databento/dbn_file_store.hpp
+ include/databento/detail/file_stream.hpp
+ include/databento/detail/http_client.hpp
+ include/databento/detail/json_helpers.hpp
+ include/databento/detail/scoped_fd.hpp
+ include/databento/detail/scoped_thread.hpp
+ include/databento/detail/shared_channel.hpp
+ include/databento/detail/tcp_client.hpp
+ include/databento/detail/zstd_stream.hpp
  include/databento/enums.hpp
  include/databento/exceptions.hpp
  include/databento/fixed_price.hpp
@@ -23,14 +31,6 @@ set(headers
  include/databento/symbology.hpp
  include/databento/timeseries.hpp
  include/databento/with_ts_out.hpp
- include/databento/detail/file_stream.hpp
- include/databento/detail/http_client.hpp
- include/databento/detail/json_helpers.hpp
- include/databento/detail/scoped_fd.hpp
- include/databento/detail/scoped_thread.hpp
- include/databento/detail/shared_channel.hpp
- include/databento/detail/tcp_client.hpp
- include/databento/detail/zstd_stream.hpp
  src/stream_op_helper.hpp
 )
 
@@ -40,10 +40,18 @@ set(sources
  src/datetime.cpp
  src/dbn.cpp
  src/dbn_decoder.cpp
+ src/dbn_file_store.cpp
+ src/detail/file_stream.cpp
+ src/detail/http_client.cpp
+ src/detail/json_helpers.cpp
+ src/detail/scoped_fd.cpp
+ src/detail/shared_channel.cpp
+ src/detail/tcp_client.cpp
+ src/detail/zstd_stream.cpp
  src/enums.cpp
  src/exceptions.cpp
- src/dbn_file_store.cpp
  src/fixed_price.cpp
+ src/flag_set.cpp
  src/historical.cpp
  src/live.cpp
  src/live_blocking.cpp
@@ -54,11 +62,4 @@ set(sources
  src/record.cpp
  src/symbol_map.cpp
  src/symbology.cpp
- src/detail/file_stream.cpp
- src/detail/http_client.cpp
- src/detail/json_helpers.cpp
- src/detail/scoped_fd.cpp
- src/detail/shared_channel.cpp
- src/detail/tcp_client.cpp
- src/detail/zstd_stream.cpp
 )

include/databento/flag_set.hpp

@@ -1,15 +1,15 @@
 #pragma once
 
-#include <bitset>
 #include <cstdint>
 #include <ostream>
+#include <string>
 
 namespace databento {
 // Transparent wrapper around the bit flags used in several DBN record types.
 class FlagSet {
  public:
  using Repr = std::uint8_t;
- // Indicates it's the last message in the packet from the venue for a given
+ // Indicates it's the last message in the event from the venue for a given
  // `instrument_id`.
  static constexpr Repr kLast = 1 << 7;
  // Indicates a top-of-book message, not an individual order.
@@ -27,61 +27,76 @@ class FlagSet {
 
  friend std::ostream& operator<<(std::ostream&, FlagSet);
 
- constexpr FlagSet() = default;
+ constexpr FlagSet() : repr_{0} {};
 
- constexpr FlagSet( // cppcheck-suppress noExplicitConstructor
- std::uint8_t repr)
- : repr_{repr} {}
+ explicit constexpr FlagSet(Repr repr) : repr_{repr} {}
 
  explicit constexpr operator std::uint8_t() const { return repr_; }
 
- constexpr FlagSet operator~() const {
- return FlagSet{static_cast<Repr>(~repr_)};
- }
+ constexpr bool operator==(FlagSet rhs) const { return repr_ == rhs.repr_; }
+ constexpr bool operator!=(FlagSet rhs) const { return repr_ != rhs.repr_; }
 
- constexpr FlagSet operator|(FlagSet rhs) const {
- return FlagSet{static_cast<Repr>(repr_ | rhs.repr_)};
+ FlagSet Clear() {
+ repr_ = 0;
+ return *this;
  }
 
- constexpr FlagSet operator&(FlagSet rhs) const {
- return FlagSet{static_cast<Repr>(repr_ & rhs.repr_)};
- }
+ constexpr Repr Raw() const { return repr_; }
+ void SetRaw(Repr raw) { repr_ = raw; }
 
- constexpr FlagSet operator^(FlagSet rhs) const {
- return FlagSet{static_cast<Repr>(repr_ ^ rhs.repr_)};
+ // Checks if any flags are set.
+ constexpr bool Any() const { return repr_ != 0; }
+ constexpr bool IsEmpty() const { return repr_ == 0; }
+ constexpr bool IsLast() const { return bits_.last; }
+ FlagSet SetLast() {
+ bits_.last = true;
+ return *this;
  }
-
- FlagSet operator|=(FlagSet rhs) {
- repr_ = repr_ | rhs.repr_;
+ constexpr bool IsTob() const { return bits_.tob; }
+ FlagSet SetTob() {
+ bits_.tob = true;
  return *this;
  }
-
- FlagSet operator&=(FlagSet rhs) {
- repr_ = repr_ & rhs.repr_;
+ constexpr bool IsSnapshot() const { return bits_.snapshot; }
+ FlagSet SetSnapshot() {
+ bits_.snapshot = true;
  return *this;
  }
-
- FlagSet operator^=(FlagSet rhs) {
- repr_ = repr_ ^ rhs.repr_;
+ constexpr bool IsMbp() const { return bits_.mbp; }
+ FlagSet SetMbp() {
+ bits_.mbp = true;
+ return *this;
+ }
+ constexpr bool IsBadTsRecv() const { return bits_.bad_ts_recv; }
+ FlagSet SetBadTsRecv() {
+ bits_.bad_ts_recv = true;
+ return *this;
+ }
+ constexpr bool IsMaybeBadBook() const { return bits_.maybe_bad_book; }
+ FlagSet SetMaybeBadBook() {
+ bits_.maybe_bad_book = true;
  return *this;
  }
-
- constexpr bool operator==(FlagSet rhs) const { return repr_ == rhs.repr_; }
-
- constexpr bool operator!=(FlagSet rhs) const { return repr_ != rhs.repr_; }
-
- // Checks if any flags are set.
- constexpr bool Any() const { return repr_ != 0; }
 
  private:
- Repr repr_{};
+ struct BitFlags {
+ bool reserved0 : 1;
+ bool reserved1 : 1;
+ bool maybe_bad_book : 1;
+ bool bad_ts_recv : 1;
+ bool mbp : 1;
+ bool snapshot : 1;
+ bool tob : 1;
+ bool last : 1;
+ };
+ union {
+ BitFlags bits_;
+ Repr repr_;
+ };
 };
 
-inline std::ostream& operator<<(std::ostream& stream, FlagSet flag) {
- // print as binary
- stream << "0b" << std::bitset<8>{flag.repr_};
- return stream;
-}
+std::ostream& operator<<(std::ostream& stream, FlagSet flag_set);
+std::string ToString(FlagSet flags);
 
 static_assert(sizeof(FlagSet) == sizeof(std::uint8_t),
  "FlagSet must be a transparent wrapper around std::uint8_t");

pkg/PKGBUILD

@@ -1,7 +1,7 @@
 # Maintainer: Databento <support@databento.com>
 _pkgname=databento-cpp
 pkgname=databento-cpp-git
-pkgver=0.17.1
+pkgver=0.18.0
 pkgrel=1
 pkgdesc="Official C++ client for Databento"
 arch=('any')

src/compat.cpp

@@ -110,10 +110,12 @@ SymbolMappingMsgV2 SymbolMappingMsgV1::ToV2() const {
  RecordHeader{sizeof(SymbolMappingMsgV2) / RecordHeader::kLengthMultiplier,
  RType::SymbolMapping, hd.publisher_id, hd.instrument_id,
  hd.ts_event},
- // invalid
+ // Intentionally invalid
+ // NOLINTNEXTLINE(clang-analyzer-optin.core.EnumCastOutOfRange)
  static_cast<SType>(std::numeric_limits<std::uint8_t>::max()),
  {},
- // invalid
+ // Intentionally invalid
+ // NOLINTNEXTLINE(clang-analyzer-optin.core.EnumCastOutOfRange)
  static_cast<SType>(std::numeric_limits<std::uint8_t>::max()),
  {},
  start_ts,
@@ -205,18 +207,18 @@ std::ostream& operator<<(std::ostream& stream,
  .AddField("hd", instr_def_msg.hd)
  .AddField("ts_recv", instr_def_msg.ts_recv)
  .AddField("min_price_increment", FixPx{instr_def_msg.min_price_increment})
- .AddField("display_factor", instr_def_msg.display_factor)
+ .AddField("display_factor", FixPx{instr_def_msg.display_factor})
  .AddField("expiration", instr_def_msg.expiration)
  .AddField("activation", instr_def_msg.activation)
  .AddField("high_limit_price", FixPx{instr_def_msg.high_limit_price})
  .AddField("low_limit_price", FixPx{instr_def_msg.low_limit_price})
  .AddField("max_price_variation", FixPx{instr_def_msg.max_price_variation})
  .AddField("trading_reference_price",
  FixPx{instr_def_msg.trading_reference_price})
- .AddField("unit_of_measure_qty", instr_def_msg.unit_of_measure_qty)
+ .AddField("unit_of_measure_qty", FixPx{instr_def_msg.unit_of_measure_qty})
  .AddField("min_price_increment_amount",
  FixPx{instr_def_msg.min_price_increment_amount})
- .AddField("price_ratio", instr_def_msg.price_ratio)
+ .AddField("price_ratio", FixPx{instr_def_msg.price_ratio})
  .AddField("inst_attrib_value", instr_def_msg.inst_attrib_value)
  .AddField("underlying_id", instr_def_msg.underlying_id)
  .AddField("raw_instrument_id", instr_def_msg.raw_instrument_id)

src/flag_set.cpp

@@ -0,0 +1,48 @@
+#include "databento/flag_set.hpp"
+
+#include <array>
+
+#include "stream_op_helper.hpp"
+
+namespace databento {
+constexpr FlagSet::Repr FlagSet::kLast;
+constexpr FlagSet::Repr FlagSet::kTob;
+constexpr FlagSet::Repr FlagSet::kSnapshot;
+constexpr FlagSet::Repr FlagSet::kMbp;
+constexpr FlagSet::Repr FlagSet::kBadTsRecv;
+constexpr FlagSet::Repr FlagSet::kMaybeBadBook;
+
+std::ostream& operator<<(std::ostream& stream, FlagSet flag_set) {
+ const std::array<std::pair<bool (FlagSet::*)() const, const char*>, 6>
+ kFlagsAndNames = {{
+ {&FlagSet::IsLast, "LAST"},
+ {&FlagSet::IsTob, "TOB"},
+ {&FlagSet::IsSnapshot, "SNAPSHOT"},
+ {&FlagSet::IsMbp, "MBP"},
+ {&FlagSet::IsBadTsRecv, "BAD_TS_RECV"},
+ {&FlagSet::IsMaybeBadBook, "MAYBE_BAD_BOOK"},
+ }};
+
+ bool has_written_flag = false;
+ for (const auto& pair : kFlagsAndNames) {
+ if ((flag_set.*pair.first)()) {
+ if (has_written_flag) {
+ stream << " | " << pair.second;
+ } else {
+ stream << pair.second;
+ has_written_flag = true;
+ }
+ }
+ }
+ // Cast to uint16_t to avoid being formatted as char
+ const auto raw = static_cast<std::uint16_t>(flag_set.Raw());
+ if (has_written_flag) {
+ stream << " (" << raw << ')';
+ } else {
+ stream << raw;
+ }
+ return stream;
+}
+
+std::string ToString(FlagSet flags) { return MakeString(flags); }
+} // namespace databento

src/live_threaded.cpp

@@ -28,6 +28,7 @@ struct LiveThreaded::Impl {
  }
 
  ILogReceiver* log_receiver;
+ std::atomic<std::thread::id> thread_id_{};
  // Set to false when destructor is called
  std::atomic<bool> keep_going{true};
  KeepGoing last_cb_ret{KeepGoing::Continue};
@@ -114,7 +115,7 @@ void LiveThreaded::Start(MetadataCallback metadata_callback,
  RecordCallback record_callback,
  ExceptionCallback exception_callback) {
  // Deadlock check
- if (std::this_thread::get_id() == thread_.Id()) {
+ if (std::this_thread::get_id() == impl_->thread_id_) {
  std::ostringstream log_ss;
  log_ss << "[LiveThreaded::Start] Called Start from callback thread, which "
  "would cause a deadlock. Ignoring.";
@@ -161,6 +162,7 @@ void LiveThreaded::ProcessingThread(Impl* impl,
  static constexpr auto kMethodName = "LiveThreaded::ProcessingThread";
  constexpr std::chrono::milliseconds kTimeout{50};
 
+ impl->thread_id_ = std::this_thread::get_id();
  const auto metadata_cb{std::move(metadata_callback)};
  const auto record_cb{std::move(record_callback)};
  const auto exception_cb{std::move(exception_callback)};

src/record.cpp

@@ -382,7 +382,7 @@ std::ostream& operator<<(std::ostream& stream,
  .AddField("hd", instr_def_msg.hd)
  .AddField("ts_recv", instr_def_msg.ts_recv)
  .AddField("min_price_increment", FixPx{instr_def_msg.min_price_increment})
- .AddField("display_factor", instr_def_msg.display_factor)
+ .AddField("display_factor", FixPx{instr_def_msg.display_factor})
  .AddField("expiration", instr_def_msg.expiration)
  .AddField("activation", instr_def_msg.activation)
  .AddField("high_limit_price", FixPx{instr_def_msg.high_limit_price})
@@ -393,7 +393,7 @@ std::ostream& operator<<(std::ostream& stream,
  .AddField("unit_of_measure_qty", FixPx{instr_def_msg.unit_of_measure_qty})
  .AddField("min_price_increment_amount",
  FixPx{instr_def_msg.min_price_increment_amount})
- .AddField("price_ratio", instr_def_msg.price_ratio)
+ .AddField("price_ratio", FixPx{instr_def_msg.price_ratio})
  .AddField("strike_price", FixPx{instr_def_msg.strike_price})
  .AddField("inst_attrib_value", instr_def_msg.inst_attrib_value)
  .AddField("underlying_id", instr_def_msg.underlying_id)