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@github-actions github-actions released this 28 May 15:37
· 84 commits to main since this release
v0.35.0
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Learn about vigilant mode.

Release notes

This version marks the release of DBN version 3 (DBNv3), which is the new default.
Decoders support decoding all versions of DBN and the DBN encoders default to
upgrading the input to DBNv3.

Enhancements

  • Added a new UpgradeToV3 VersionUpgradePolicy variant
  • Consolidated DBN decoding logic in a new sans-I/O style state machine. All existing
    decoders now use DbnFsm internally
  • Added an internal buffer to DBN decoders so wrapping the reader in a BufReader is no
    longer recommended
  • Added with_upgrade_policy() construction methods to MetadataDecoder and
    AsyncMetadataDecoder to match other decoders
  • Implemented conversion from RecordRef to IoSlice for use with
    Write::write_vectored
  • Improved performance of the Python DBNDecoder by batching acquisition of the GIL for
    multiple records
  • Added version() setter to CsvEncoderBuilder to configure the output version
  • Upgraded pyo3 version to 0.25.0

Breaking changes

  • Release of DBN version 3
    • Definition schema:
      • Updated InstrumentDefMsg with new leg_ fields to support multi-leg strategy
        definitions.
      • Expanded asset to 11 bytes and ASSET_CSTR_LEN to match
      • Expanded raw_instrument_id to 64 bits to support more venues. Like other 64-bit
        integer fields, its value will now be quoted in JSON
      • Removed trading_reference_date, trading_reference_price, and
        settl_price_type fields which will be normalized in the statistics schema
      • Removed md_security_trading_status better served by the status schema
    • Statistics schema:
      • Updated StatMsg has an expanded 64-bit quantity field. Like other 64-bit
        integer fields, its value will now be quoted in JSON
      • The previous StatMsg has been moved to v2::StatMsg or StatMsgV2
    • Changed the default VersionUpgradePolicy to UpgradeToV3
    • Metadata will now always be encoded with a length divisible by 8 bytes for better
      alignment
    • Version 1 and 2 structs can be converted to version 3 structs with the From trait
  • Added a version parameter to the encode_header_for_schema() method on CsvEncoder
    and DynEncoder to handle change in definition schema fields between versions
  • Changed the return type of DbnDecoder::from_file and AsyncDbnDecoder::from_file to
    no longer include a BufReader
  • The set_upgrade_policy() methods on DbnDecoder, AsyncDbnDecoder,
    DbnRecordDecoder, AsyncDbnRecordDecoder now return a Result
  • Removed compat::decode_record_ref. It's recommended to use DbnFsm or the decoders
    directly
  • Updated the minimum supported tokio version to 1.38, which was released one year ago

Bug fixes

  • Fixed conversion of v1::StatMsg to v3::StatMsg
  • Changed default upgrade_policy of synchronous DbnRecord
  • Fixed Python Transcoder not writing CSV header when has_metadata=False
  • Removed incorrect sequence and depth Python type stubs for CMBP1Msg and CBBOMsg
  • Fixed missing export of Mbp1Msg and Mbp10Msg from v1, v2, and v3 modules
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