VER: Release 0.64.0

See release notes.

Author: nmacholl

CHANGELOG.md

@@ -1,5 +1,15 @@
 # Changelog
 
+## 0.64.0 - 2025-09-30
+
+#### Enhancements
+- Upgraded `databento-dbn` to 0.42.0
+  - Added `ts_index` and `pretty_ts_index` properties for records in Python which provides the timestamp that is most appropriate for indexing
+  - Fixed type stub for `channel_id` to allow None
+
+#### Bug fixes
+- Fixed type hint for `start` parameter in `Live.subscribe()`
+
 ## 0.63.0 - 2025-09-02
 
 #### Enhancements
@@ -18,7 +28,7 @@ This release delivers a number of breaking changes to the Python interface for D
   - Removed `hd` property from records in Python. Header fields are accessible
     directly from the record
   - Removed ability to directly instantiate most enums from an `int` in Python and coercion
-    from `int` in `__eq__`. They can still be instantitated with the `from_int` class method.
+    from `int` in `__eq__`. They can still be instantiated with the `from_int` class method.
     Write `Side.from_int(66)` instead of `Side(66)` and `Side.BID == Side.from_int(66)`
     instead of `Side.BID == 66`. Affected enums:
     - `Side`
@@ -215,7 +225,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 ## 0.52.0 - 2025-04-15
 
 #### Enhancements
-- Added new optional `id` field to `SubcriptionRequest` class which will be used for improved error messages
+- Added new optional `id` field to `SubscriptionRequest` class which will be used for improved error messages
 - Upgraded `databento-dbn` to 0.32.0
   - Fixed `RType` variant names in Python to match `Schema`
   - Added missing Python type declarations for `RType` variants
@@ -892,7 +902,7 @@ This release includes updates to the fields in text encodings (CSV and JSON), yo
 - Removed `record_size` property from `DBNStore`
 - Removed `bad` condition variant from `batch.get_dataset_condition`
 - Removed unused `LiveGateway` enum
-- Removed `STATSTICS` from `Schema` enum
+- Removed `STATISTICS` from `Schema` enum
 - Removed `STATUS` from `Schema` enum
 - Removed `GATEWAY_ERROR` from `Schema` enum
 - Removed `SYMBOL_MAPPING` from `Schema` enum

README.md

@@ -32,7 +32,7 @@ The library is fully compatible with the latest distribution of Anaconda 3.9 and
 The minimum dependencies as found in the `pyproject.toml` are also listed below:
 - python = "^3.9"
 - aiohttp = "^3.8.3"
-- databento-dbn = "~0.36.1"
+- databento-dbn = "~0.42.0"
 - numpy = ">=1.23.5"
 - pandas = ">=1.5.3"
 - pip-system-certs = ">=4.0" (Windows only)

databento/__init__.py

@@ -145,7 +145,6 @@
     "SystemCode",
     "SystemMsg",
     "TBBOMsg",
-    "TBBOMsg",
     "TCBBOMsg",
     "TradeMsg",
     "TradingEvent",

databento/common/parsing.py

@@ -344,14 +344,14 @@ def optional_datetime_to_string(
 
 
 def datetime_to_unix_nanoseconds(
-    value: pd.Timestamp | date | str | int,
+    value: pd.Timestamp | datetime | date | str | int,
 ) -> int:
     """
     Return a valid UNIX nanosecond timestamp from the given value.
 
     Parameters
     ----------
-    value : pd.Timestamp, date, str, or int
+    value : pd.Timestamp, datetime, date, str, or int
         The value to parse.
 
     Returns
@@ -378,15 +378,15 @@ def datetime_to_unix_nanoseconds(
 
 
 def optional_datetime_to_unix_nanoseconds(
-    value: pd.Timestamp | date | str | int | None,
+    value: pd.Timestamp | datetime | date | str | int | None,
 ) -> int | None:
     """
     Return a valid UNIX nanosecond timestamp from the given value (if not
     None).
 
     Parameters
     ----------
-    value : pd.Timestamp, date, str, or int
+    value : pd.Timestamp, datetime, date, str, or int
         The value to parse.
 
     Returns

databento/live/client.py

@@ -8,10 +8,13 @@
 import threading
 from collections.abc import Iterable
 from concurrent import futures
+from datetime import date
+from datetime import datetime
 from os import PathLike
 from typing import IO
 
 import databento_dbn
+import pandas as pd
 from databento_dbn import Schema
 from databento_dbn import SType
 
@@ -368,20 +371,22 @@ def start(
         self,
     ) -> None:
         """
-        Start the live client session.
+        Start the session.
 
-        It is not necessary to call `Live.start` before iterating a `Live` client and doing so will result in an error.
+        It is not necessary to call this method before iterating a `Live` client and doing so
+        will result in an error.
 
         Raises
         ------
         ValueError
-            If `Live.start` is called before a subscription has been made.
-            If `Live.start` is called after streaming has already started.
-            If `Live.start` is called after the live session has closed.
+            If called before a subscription has been made.
+            If called after the session has already started.
+            If called after the session has closed.
 
         See Also
         --------
         Live.stop
+        Live.terminate
 
         """
         logger.info("starting live client")
@@ -396,17 +401,25 @@ def start(
 
     def stop(self) -> None:
         """
-        Stop the live client session as soon as possible. Once stopped, a
-        client cannot be restarted.
+        Stop the session and finish processing received records.
+
+        A client can only be stopped after a successful connection is made with `Live.start`.
+
+        This method does not block waiting for the connection to close.
+
+        The connection will eventually close after calling this method. Once the connection
+        is closed, the client can be reused, but the session state is not preserved.
 
         Raises
         ------
         ValueError
-            If `Live.stop` is called before a connection has been made.
+            If called before a connection has started.
 
         See Also
         --------
-        Live.start
+        Live.terminate
+        Live.block_for_close
+        Live.wait_for_close
 
         """
         logger.info("stopping live client")
@@ -424,17 +437,18 @@ def subscribe(
         schema: Schema | str,
         symbols: Iterable[str | int] | str | int = ALL_SYMBOLS,
         stype_in: SType | str = SType.RAW_SYMBOL,
-        start: str | int | None = None,
+        start: pd.Timestamp | datetime | date | str | int | None = None,
         snapshot: bool = False,
     ) -> None:
         """
-        Subscribe to a data stream. Multiple subscription requests can be made
-        for a streaming session. Once one subscription has been made, future
-        subscriptions must all belong to the same dataset.
+        Add a new subscription to the session.
+
+        All subscriptions must be for the same `dataset`.
+
+        Multiple subscriptions for different schemas can be made.
 
-        When creating the first subscription this method will also create
-        the TCP connection to the remote gateway. All subscriptions must
-        have the same dataset.
+        When creating the first subscription, this method will also create
+        the TCP connection to the remote gateway.
 
         Parameters
         ----------
@@ -446,12 +460,14 @@ def subscribe(
             The symbols to subscribe to.
         stype_in : SType or str, default 'raw_symbol'
             The input symbology type to resolve from.
-        start : str or int, optional
-            UNIX nanosecond epoch timestamp to start streaming from (inclusive), based on `ts_event`. Must be within 24 hours except when requesting the mbo or definition schemas.
+        start : pd.Timestamp, datetime, date, str or int, optional
+            The inclusive start of subscription replay.
+            Pass `0` to request all available data.
+            Cannot be specified after the session is started.
+            See `Intraday Replay` https://databento.com/docs/api-reference-live/basics/intraday-replay.
         snapshot: bool, default to 'False'
             Request subscription with snapshot. The `start` parameter must be `None`.
-
-
+            Only supported with `mbo` schema.
 
         Raises
         ------
@@ -497,17 +513,23 @@ def subscribe(
 
     def terminate(self) -> None:
         """
-        Terminate the live client session and stop processing records as soon
-        as possible.
+        Terminate the session and stop processing records immediately.
+
+        A client can only be terminated after a connection is started with `Live.start`.
+
+        Once terminated, the client can be reused, but the session state
+        is not preserved.
 
         Raises
         ------
         ValueError
-            If the client is not connected.
+            If called before a connection has started.
 
         See Also
         --------
         Live.stop
+        Live.block_for_close
+        Live.wait_for_close
 
         """
         logger.info("terminating live client")
@@ -521,11 +543,14 @@ def block_for_close(
     ) -> None:
         """
         Block until the session closes or a timeout is reached. A session will
-        close after `Live.stop` is called or the remote gateway disconnects.
+        close after the remote gateway disconnects, or after `Live.stop` or
+        `Live.terminate` are called.
 
-        If a `timeout` is specified, `Live.stop` will be called when the
+        If a `timeout` is specified, `Live.terminate` will be called when the
         timeout is reached.
 
+        When this method unblocks, the session is guaranteed to be closed.
+
         Parameters
         ----------
         timeout : float, optional
@@ -541,7 +566,7 @@ def block_for_close(
 
         See Also
         --------
-        wait_for_close
+        Live.wait_for_close
 
         """
         try:
@@ -565,12 +590,14 @@ async def wait_for_close(
     ) -> None:
         """
         Coroutine to wait until the session closes or a timeout is reached. A
-        session will close after `Live.stop` is called or the remote gateway
-        disconnects.
+        session will close when the remote gateway disconnects, or after
+        `Live.stop` or `Live.terminate` are called.
 
-        If a `timeout` is specified, `Live.stop` will be called when the
+        If a `timeout` is specified, `Live.terminate` will be called when the
         timeout is reached.
 
+        When this method unblocks, the session is guaranteed to be closed.
+
         Parameters
         ----------
         timeout : float, optional
@@ -586,7 +613,7 @@ async def wait_for_close(
 
         See Also
         --------
-        block_for_close
+        Live.block_for_close
 
         """
         waiter = asyncio.wrap_future(

databento/reference/api/adjustment.py

@@ -50,14 +50,14 @@ def get_range(
         Parameters
         ----------
         start : pd.Timestamp, datetime, date, str, or int
-            The start datetime of the request time range (inclusive) based on `ex_date`.
+            The inclusive start of the request time range based on `ex_date`.
             Assumes UTC as timezone unless passed a tz-aware object.
             If an integer is passed, then this represents nanoseconds since the UNIX epoch.
         end : pd.Timestamp, datetime, date, str, or int, optional
-            The end datetime of the request time range (exclusive) based on `ex_date`.
+            The exclusive end of the request time range based on `ex_date`.
             Assumes UTC as timezone unless passed a tz-aware object.
             If an integer is passed, then this represents nanoseconds since the UNIX epoch.
-            Defaults to the forward filled value of `start` based on the resolution provided.
+            If `None`, then will return **all** data available after `start`.
         symbols : Iterable[str] or str, optional
             The symbols to filter for. Takes up to 2,000 symbols per request.
             If more than 1 symbol is specified, the data is merged and sorted by time.

databento/reference/api/corporate.py

@@ -55,14 +55,14 @@ def get_range(
         Parameters
         ----------
         start : pd.Timestamp, datetime, date, str, or int
-            The start datetime of the request time range (inclusive) based on `index`.
+            The inclusive start of the request range based on `index`.
             Assumes UTC as timezone unless passed a tz-aware object.
             If an integer is passed, then this represents nanoseconds since the UNIX epoch.
         end : pd.Timestamp, datetime, date, str, or int, optional
-            The end datetime of the request time range (exclusive) based on `index`.
+            The exclusive end of the request range based on `index`.
             Assumes UTC as timezone unless passed a tz-aware object.
             If an integer is passed, then this represents nanoseconds since the UNIX epoch.
-            Defaults to the forward filled value of `start` based on the resolution provided.
+            If `None`, then will return **all** data available after `start`.
         index : str, default 'event_date'
             The index column used for filtering the `start` and `end` time range
             and for record ordering.

databento/reference/api/security.py

@@ -51,14 +51,14 @@ def get_range(
         Parameters
         ----------
         start : pd.Timestamp, datetime, date, str, or int
-            The start datetime of the request time range (inclusive) based on `index`.
+            The inclusive start datetime of the request range based on `index`.
             Assumes UTC as timezone unless passed a tz-aware object.
             If an integer is passed, then this represents nanoseconds since the UNIX epoch.
         end : pd.Timestamp, datetime, date, str, or int, optional
-            The end datetime of the request time range (exclusive) based on `index`.
+            The exclusive end of the request range based on `index`.
             Assumes UTC as timezone unless passed a tz-aware object.
             If an integer is passed, then this represents nanoseconds since the UNIX epoch.
-            Defaults to the forward filled value of `start` based on the resolution provided.
+            If `None`, then will return **all** data available after `start`.
         index : str, default 'ts_effective'
             The index column used for filtering the `start` and `end` time range
             and for record ordering.

databento/version.py

@@ -1 +1 @@
-__version__ = "0.63.0"
+__version__ = "0.64.0"

examples/historical_timeseries_from_file.py

@@ -4,10 +4,10 @@
 
 
 if __name__ == "__main__":
-    ts_start = datetime.datetime.utcnow()
+    ts_start = datetime.datetime.now(tz=datetime.timezone.utc)
 
     # Can load from file path (if exists)
     data = DBNStore.from_file(path="my_data.dbn")
 
     print(data.to_df())
-    print(datetime.datetime.utcnow() - ts_start)
+    print(datetime.datetime.now(tz=datetime.timezone.utc) - ts_start)