VER: Release 0.43.0

.github/workflows/test.yml

@@ -10,7 +10,7 @@ jobs:
       fail-fast: false
       matrix:
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.8", "3.9", "3.10", "3.11", "3.12"]
+        python-version: ["3.9", "3.10", "3.11", "3.12"]
     name: build - Python ${{ matrix.python-version }} (${{ matrix.os }})
     runs-on: ${{ matrix.os }}
 

CHANGELOG.md

@@ -1,5 +1,19 @@
 # Changelog
 
+## 0.43.0 - 2024-10-09
+
+This release drops support for Python 3.8 which has reached end-of-life.
+
+#### Enhancements
+- Added `PriceType` enum for validation of `price_type` parameter in `DBNStore.to_df`
+- Upgraded `databento-dbn` to 0.22.1
+
+#### Bug fixes
+- Fixed return type hint for `metadata.get_dataset_condition`
+
+#### Breaking changes
+- Removed support for Python 3.8 due to end of life
+
 ## 0.42.0 - 2024-09-23
 
 #### Enhancements

README.md

@@ -1,7 +1,7 @@
 # databento-python
 
 [![test](https://github.com/databento/databento-python/actions/workflows/test.yml/badge.svg?branch=dev)](https://github.com/databento/databento-python/actions/workflows/test.yml)
-![python](https://img.shields.io/badge/python-3.8+-blue.svg)
+![python](https://img.shields.io/badge/python-3.9+-blue.svg)
 [![pypi-version](https://img.shields.io/pypi/v/databento)](https://pypi.org/project/databento)
 [![license](https://img.shields.io/github/license/databento/databento-python?color=blue)](./LICENSE)
 [![code-style: black](https://img.shields.io/badge/code%20style-black-000000.svg)](https://github.com/psf/black)
@@ -28,16 +28,16 @@ You can find our full client API reference on the [Historical Reference](https:/
 [Examples](https://databento.com/docs/examples?historical=python&live=python) section for various tutorials and code samples.
 
 ## Requirements
-The library is fully compatible with the latest distribution of Anaconda 3.8 and above.
+The library is fully compatible with the latest distribution of Anaconda 3.9 and above.
 The minimum dependencies as found in the `pyproject.toml` are also listed below:
-- python = "^3.8"
+- python = "^3.9"
 - aiohttp = "^3.8.3"
-- databento-dbn = "0.20.1"
+- databento-dbn = "0.22.1"
 - numpy= ">=1.23.5"
 - pandas = ">=1.5.3"
 - pip-system-certs = ">=4.0" (Windows only)
 - pyarrow = ">=13.0.0"
-- requests = ">=2.24.0"
+- requests = ">=2.25.1"
 - zstandard = ">=0.21.0"
 
 ## Installation

databento/common/constants.py

@@ -1,10 +1,9 @@
-from __future__ import annotations
-
 from typing import Final
 
 import numpy as np
 from databento_dbn import BBOMsg
 from databento_dbn import CBBOMsg
+from databento_dbn import CMBP1Msg
 from databento_dbn import ImbalanceMsg
 from databento_dbn import InstrumentDefMsg
 from databento_dbn import InstrumentDefMsgV1
@@ -44,7 +43,7 @@
     Schema.STATUS: StatusMsg,
     Schema.TBBO: MBP1Msg,
     Schema.TRADES: TradeMsg,
-    Schema.CBBO: CBBOMsg,
+    Schema.CMBP_1: CMBP1Msg,
     Schema.CBBO_1S: CBBOMsg,
     Schema.CBBO_1M: CBBOMsg,
     Schema.TCBBO: CBBOMsg,
@@ -66,7 +65,7 @@
     Schema.STATUS: StatusMsg,
     Schema.TBBO: MBP1Msg,
     Schema.TRADES: TradeMsg,
-    Schema.CBBO: CBBOMsg,
+    Schema.CMBP_1: CMBP1Msg,
     Schema.CBBO_1S: CBBOMsg,
     Schema.CBBO_1M: CBBOMsg,
     Schema.TCBBO: CBBOMsg,

databento/common/dbnstore.py

@@ -47,6 +47,7 @@
 from databento.common.constants import DEFINITION_TYPE_MAX_MAP
 from databento.common.constants import SCHEMA_STRUCT_MAP
 from databento.common.constants import SCHEMA_STRUCT_MAP_V1
+from databento.common.enums import PriceType
 from databento.common.error import BentoError
 from databento.common.error import BentoWarning
 from databento.common.symbology import InstrumentMap
@@ -848,7 +849,7 @@ def to_csv(
     @overload
     def to_df(
         self,
-        price_type: Literal["fixed", "float", "decimal"] = ...,
+        price_type: PriceType | str = ...,
         pretty_ts: bool = ...,
         map_symbols: bool = ...,
         schema: Schema | str | None = ...,
@@ -859,7 +860,7 @@ def to_df(
     @overload
     def to_df(
         self,
-        price_type: Literal["fixed", "float", "decimal"] = ...,
+        price_type: PriceType | str = ...,
         pretty_ts: bool = ...,
         map_symbols: bool = ...,
         schema: Schema | str | None = ...,
@@ -869,7 +870,7 @@ def to_df(
 
     def to_df(
         self,
-        price_type: Literal["fixed", "float", "decimal"] = "float",
+        price_type: PriceType | str = PriceType.FLOAT,
         pretty_ts: bool = True,
         map_symbols: bool = True,
         schema: Schema | str | None = None,
@@ -883,7 +884,7 @@ def to_df(
 
         Parameters
         ----------
-        price_type : str, default "float"
+        price_type : PriceType or str, default "float"
             The price type to use for price fields.
             If "fixed", prices will have a type of `int` in fixed decimal format; each unit representing 1e-9 or 0.000000001.
             If "float", prices will have a type of `float`.
@@ -918,6 +919,7 @@ def to_df(
             If the DBN schema is unspecified and cannot be determined.
 
         """
+        price_type = validate_enum(price_type, PriceType, "price_type")
         schema = validate_maybe_enum(schema, Schema, "schema")
 
         if isinstance(tz, Default):
@@ -1422,7 +1424,7 @@ def __init__(
         struct_type: type[DBNRecord],
         instrument_map: InstrumentMap,
         tz: pytz.BaseTzInfo,
-        price_type: Literal["fixed", "float", "decimal"] = "float",
+        price_type: PriceType = PriceType.FLOAT,
         pretty_ts: bool = True,
         map_symbols: bool = True,
     ):
@@ -1499,16 +1501,16 @@ def _format_timezone(self, df: pd.DataFrame) -> None:
     def _format_px(
         self,
         df: pd.DataFrame,
-        price_type: Literal["fixed", "float", "decimal"],
+        price_type: PriceType,
     ) -> None:
         px_fields = self._struct_type._price_fields
 
-        if price_type == "decimal":
+        if price_type == PriceType.DECIMAL:
             df[px_fields] = (
                 df[px_fields].replace(UNDEF_PRICE, np.nan).applymap(decimal.Decimal)
                 / FIXED_PRICE_SCALE
             )
-        elif price_type == "float":
+        elif price_type == PriceType.FLOAT:
             df[px_fields] = df[px_fields].replace(UNDEF_PRICE, np.nan) / FIXED_PRICE_SCALE
         else:
             return  # do nothing

databento/common/enums.py

@@ -225,5 +225,21 @@ class RecordFlags(StringyMixin, IntFlag):  # type: ignore
 @unique
 @coercible
 class ReconnectPolicy(StringyMixin, str, Enum):
+    """
+    Live session reconnection policy.
+    """
+
     NONE = "none"
     RECONNECT = "reconnect"
+
+
+@unique
+@coercible
+class PriceType(StringyMixin, str, Enum):
+    """
+    Price type for DataFrame price fields.
+    """
+
+    FIXED = "fixed"
+    FLOAT = "float"
+    DECIMAL = "decimal"

databento/common/iterator.py

@@ -1,5 +1,3 @@
-from __future__ import annotations
-
 import itertools
 from collections.abc import Iterable
 from typing import TypeVar

databento/common/types.py

@@ -12,6 +12,7 @@
 DBNRecord = Union[
     databento_dbn.BBOMsg,
     databento_dbn.CBBOMsg,
+    databento_dbn.CMBP1Msg,
     databento_dbn.MBOMsg,
     databento_dbn.MBP1Msg,
     databento_dbn.MBP10Msg,

databento/historical/api/metadata.py

@@ -188,7 +188,7 @@ def get_dataset_condition(
         dataset: Dataset | str,
         start_date: date | str | None = None,
         end_date: date | str | None = None,
-    ) -> dict[str, Any]:
+    ) -> list[dict[str, str]]:
         """
         Get the per date dataset conditions from Databento.
 
@@ -209,7 +209,7 @@ def get_dataset_condition(
 
         Returns
         -------
-        dict[str, Any]
+        list[dict[str, str]]
 
         """
         params: list[tuple[str, str | None]] = [

notebooks/quickstart.ipynb

@@ -2236,7 +2236,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.8.17"
+   "version": "3.9.16"
   }
  },
  "nbformat": 4,

pyproject.toml

@@ -27,20 +27,20 @@ repository = "https://github.com/databento/databento-python"
 "Bug Tracker" = "https://github.com/databento/databento-python/issues"
 
 [tool.poetry.dependencies]
-python = "^3.8"
+python = "^3.9"
 aiohttp = [
     {version = "^3.8.3", python = "<3.12"},
     {version = "^3.9.0", python = "^3.12"}
 ]
-databento-dbn = "0.20.1"
+databento-dbn = "0.22.1"
 numpy = [
     {version = ">=1.23.5", python = "<3.12"},
-    {version = "^1.26.0", python = "^3.12"}
+    {version = ">=1.26.0", python = "^3.12"}
 ]
 pandas = ">=1.5.3"
 pip-system-certs = {version=">=4.0", markers="platform_system == 'Windows'"}
 pyarrow = ">=13.0.0"
-requests = ">=2.24.0"
+requests = ">=2.25.1"
 zstandard = ">=0.21.0"
 
 [tool.poetry.group.dev.dependencies]
@@ -63,7 +63,7 @@ build-backend = "poetry.core.masonry.api"
 line_length = 100
 
 [tool.mypy]
-python_version = 3.8
+python_version = 3.9
 disallow_untyped_defs = true
 disallow_any_generics = true
 disallow_subclassing_any = true

tests/conftest.py

@@ -2,8 +2,6 @@
 Pytest fixtures.
 """
 
-from __future__ import annotations
-
 import asyncio
 import logging
 import pathlib

tests/mockliveserver/__main__.py

@@ -1,5 +1,3 @@
-from __future__ import annotations
-
 import argparse
 import asyncio
 import logging

tests/mockliveserver/fixture.py

@@ -1,5 +1,3 @@
-from __future__ import annotations
-
 import asyncio
 import contextlib
 import os

tests/mockliveserver/server.py

@@ -5,13 +5,13 @@
 import logging
 import random
 import string
+from collections.abc import Generator
 from collections.abc import Mapping
 from functools import singledispatchmethod
 from io import BytesIO
 from io import FileIO
 from typing import Any
 from typing import Final
-from typing import Generator
 
 from databento.common import cram
 from databento.common.publishers import Dataset

tests/mockliveserver/source.py

@@ -1,8 +1,8 @@
+from collections.abc import Generator
+from collections.abc import Iterator
 from pathlib import Path
 from typing import IO
 from typing import Final
-from typing import Generator
-from typing import Iterator
 from typing import Protocol
 
 import zstandard

tests/test_common_enums.py

@@ -2,8 +2,6 @@
 Unit tests for databento.common.enums.
 """
 
-from __future__ import annotations
-
 from enum import Enum
 from enum import Flag
 from itertools import combinations

tests/test_common_iterator.py

@@ -1,5 +1,3 @@
-from __future__ import annotations
-
 from collections.abc import Iterable
 
 import pytest

tests/test_common_symbology.py

@@ -151,7 +151,7 @@ def create_symbol_mapping_message(
     SymbolMappingMsg
 
     """
-    return SymbolMappingMsg(  # type: ignore [call-arg]
+    return SymbolMappingMsg(
         publisher_id=publisher_id,
         instrument_id=instrument_id,
         ts_event=ts_event,

tests/test_historical_bento.py

@@ -1,5 +1,3 @@
-from __future__ import annotations
-
 import collections
 import datetime as dt
 import decimal
@@ -648,6 +646,18 @@ def test_to_df_with_price_type_handles_null(
     assert all(np.isnan(df_pretty["strike_price"]))
 
 
+def test_to_df_with_price_type_invalid(
+    test_data: Callable[[Dataset, Schema], bytes],
+) -> None:
+    # Arrange
+    stub_data = test_data(Dataset.GLBX_MDP3, Schema.DEFINITION)
+    data = DBNStore.from_bytes(data=stub_data)
+
+    # Act, Assert
+    with pytest.raises(ValueError):
+        data.to_df(price_type="US/Eastern")
+
+
 @pytest.mark.parametrize(
     "dataset",
     [

tests/test_historical_error.py

@@ -1,5 +1,3 @@
-from __future__ import annotations
-
 from unittest.mock import AsyncMock
 from unittest.mock import MagicMock
 

tests/test_live_client.py

@@ -1520,6 +1520,7 @@ async def test_live_stream_with_reuse(
         "cbbo-1s",
         "cbbo-1m",
         "tcbbo",
+        "cmbp-1",
         "bbo-1s",
         "bbo-1m",
     ):

tests/test_release.py

@@ -2,8 +2,6 @@
 Tests specific to releasing a version of databento-python.
 """
 
-from __future__ import annotations
-
 import operator
 import re
 from datetime import date