ADD: Add Publisher enums to client libraries

databento · Aug 18, 2023 · bcdce67 · bcdce67
1 parent 64e85e0
commit bcdce67
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Showing 4 changed files with 1,186 additions and 2 deletions.
diff --git a/cmake/SourcesAndHeaders.cmake b/cmake/SourcesAndHeaders.cmake
@@ -16,6 +16,7 @@ set(headers
   include/databento/live_threaded.hpp
   include/databento/log.hpp
   include/databento/metadata.hpp
+  include/databento/publishers.hpp
   include/databento/record.hpp
   include/databento/symbology.hpp
   include/databento/timeseries.hpp
@@ -46,6 +47,7 @@ set(sources
   src/live_threaded.cpp
   src/log.cpp
   src/metadata.cpp
+  src/publishers.cpp
   src/record.cpp
   src/symbology.cpp
   src/detail/file_stream.cpp

diff --git a/include/databento/enums.hpp b/include/databento/enums.hpp
@@ -4,6 +4,8 @@
 #include <iosfwd>
 #include <string>
 
+#include "databento/publishers.hpp"  // Dataset, Publisher, Venue, FromString
+
 namespace databento {
 // Represents a historical data center gateway location.
 enum class HistoricalGateway : std::uint8_t {
@@ -286,8 +288,6 @@ std::ostream& operator<<(std::ostream& out, StatType stat_type);
 std::ostream& operator<<(std::ostream& out,
                          StatUpdateAction stat_update_action);
 
-template <typename T>
-T FromString(const std::string& str);
 template <>
 Schema FromString(const std::string& str);
 template <>

diff --git a/include/databento/publishers.hpp b/include/databento/publishers.hpp
@@ -0,0 +1,245 @@
+#pragma once
+
+#include <cstdint>
+#include <iosfwd>
+#include <string>
+
+namespace databento {
+// A trading execution venue.
+enum class Venue : std::uint16_t {
+  // CME GLOBEX
+  Glbx = 1,
+  // NASDAQ
+  Xnas = 2,
+  // NASDAQ OMX BX
+  Xbos = 3,
+  // NASDAQ OMX PSX
+  Xpsx = 4,
+  // CBOE BZX U.S. EQUITIES EXCHANGE
+  Bats = 5,
+  // CBOE BYX U.S. EQUITIES EXCHANGE
+  Baty = 6,
+  // CBOE EDGA U.S. EQUITIES EXCHANGE
+  Edga = 7,
+  // CBOE EDGX U.S. EQUITIES EXCHANGE
+  Edgx = 8,
+  // New York Stock Exchange
+  Xnys = 9,
+  // NYSE NATIONAL, INC.
+  Xcis = 10,
+  // NYSE AMERICAN
+  Xase = 11,
+  // NYSE ARCA
+  Arcx = 12,
+  // NYSE CHICAGO, INC.
+  Xchi = 13,
+  // INVESTORS EXCHANGE
+  Iexg = 14,
+  // FINRA/NASDAQ TRF CARTERET
+  Finn = 15,
+  // FINRA/NASDAQ TRF CHICAGO
+  Finc = 16,
+  // FINRA/NYSE TRF
+  Finy = 17,
+  // MEMX LLC EQUITIES
+  Memx = 18,
+  // MIAX PEARL EQUITIES
+  Eprl = 19,
+  // NYSE AMERICAN OPTIONS
+  Amxo = 20,
+  // BOX OPTIONS EXCHANGE
+  Xbox = 21,
+  // CBOE OPTIONS EXCHANGE
+  Xcbo = 22,
+  // MIAX EMERALD
+  Emld = 23,
+  // Cboe EDGX Options Exchange
+  Edgo = 24,
+  // NASDAQ GEMX
+  Gmni = 25,
+  // NASDAQ ISE
+  Xisx = 26,
+  // NASDAQ MRX
+  Mcry = 27,
+  // MIAX INTERNATIONAL SECURITIES
+  Xmio = 28,
+  // NYSE ARCA OPTIONS
+  Arco = 29,
+  // OPRA
+  Opra = 30,
+  // MIAX PEARL
+  Mprl = 31,
+  // NASDAQ OPTIONS MARKET
+  Xndq = 32,
+  // NASDAQ BX OPTIONS
+  Xbxo = 33,
+  // CBOE C2 OPTIONS EXCHANGE
+  C2Ox = 34,
+  // NASDAQ PHLX
+  Xphl = 35,
+  // CBOE BZX Options Exchange
+  Bato = 36,
+  // MEMX Options Exchange
+  Mxop = 37,
+};
+
+// A source of data.
+enum class Dataset : std::uint16_t {
+  // CME MDP 3.0 Market Data
+  GlbxMdp3 = 1,
+  // Nasdaq XNAS TotalView-ITCH
+  XnasItch = 2,
+  // Nasdaq XBOS TotalView-ITCH
+  XbosItch = 3,
+  // Nasdaq XPSX TotalView-ITCH
+  XpsxItch = 4,
+  // CBOE BZX
+  BatsPitch = 5,
+  // CBOE BYX
+  BatyPitch = 6,
+  // CBOE EDGA
+  EdgaPitch = 7,
+  // CBOE EDGX
+  EdgxPitch = 8,
+  // NYSE
+  XnysPillar = 9,
+  // NYSE National
+  XcisPillar = 10,
+  // NYSE American
+  XasePillar = 11,
+  // NYSE Chicago
+  XchiPillar = 12,
+  // NYSE National BBO
+  XcisBbo = 13,
+  // NYSE National TRADES
+  XcisTrades = 14,
+  // MEMX Memoir Depth
+  MemxMemoir = 15,
+  // MIAX Pearl Depth
+  EprlDom = 16,
+  // Finra/Nasdaq TRF
+  FinnNls = 17,
+  // Finra/NYSE TRF
+  FinyTrades = 18,
+  // OPRA Binary Recipient
+  OpraPillar = 19,
+  // Databento Equities Basic
+  DbeqBasic = 20,
+  // NYSE Arca
+  ArcxPillar = 21,
+  // Investors Exchange TOPS
+  IexgTops = 22,
+};
+
+// A specific Venue from a specific data source.
+enum class Publisher : std::uint16_t {
+  // CME Globex MDP 3.0
+  GlbxMdp3Glbx = 1,
+  // Nasdaq TotalView ITCH
+  XnasItchXnas = 2,
+  // Nasdaq XBOS TotalView ITCH
+  XbosItchXbos = 3,
+  // Nasdaq XPSX TotalView ITCH
+  XpsxItchXpsx = 4,
+  // CBOE BZX
+  BatsPitchBats = 5,
+  // CBOE BYX
+  BatyPitchBats = 6,
+  // CBOE EDGA
+  EdgaPitchEdga = 7,
+  // CBOE EDGX
+  EdgxPitchEdgx = 8,
+  // NYSE
+  XnysPillarXnys = 9,
+  // NYSE National
+  XcisPillarXcis = 10,
+  // NYSE American
+  XasePillarXase = 11,
+  // NYSE Chicago
+  XchiPillarXchi = 12,
+  // NYSE National BBO
+  XcisBboXcis = 13,
+  // NYSE National Trades
+  XcisTradesXcis = 14,
+  // MEMX Memoir Depth
+  MemxMemoirMemx = 15,
+  // MIAX Pearl Depth
+  EprlDomEprl = 16,
+  // FINRA/NASDAQ TRF CARTERET
+  FinnNlsFinn = 17,
+  // FINRA/NASDAQ TRF CHICAGO
+  FinnNlsFinc = 18,
+  // FINRA/NYSE TRF
+  FinyTradesFiny = 19,
+  // OPRA - NYSE AMERICAN OPTIONS
+  OpraPillarAmxo = 20,
+  // OPRA - BOX OPTIONS EXCHANGE
+  OpraPillarXbox = 21,
+  // OPRA - CBOE OPTIONS EXCHANGE
+  OpraPillarXcbo = 22,
+  // OPRA - MIAX EMERALD
+  OpraPillarEmld = 23,
+  // OPRA - Cboe EDGX Options Exchange
+  OpraPillarEdgo = 24,
+  // OPRA - NASDAQ GEMX
+  OpraPillarGmni = 25,
+  // OPRA - NASDAQ ISE
+  OpraPillarXisx = 26,
+  // OPRA - NASDAQ MRX
+  OpraPillarMcry = 27,
+  // OPRA - MIAX INTERNATIONAL SECURITIES
+  OpraPillarXmio = 28,
+  // OPRA - NYSE ARCA OPTIONS
+  OpraPillarArco = 29,
+  // OPRA - OPRA
+  OpraPillarOpra = 30,
+  // OPRA - MIAX PEARL
+  OpraPillarMprl = 31,
+  // OPRA - NASDAQ OPTIONS MARKET
+  OpraPillarXndq = 32,
+  // OPRA - NASDAQ BX OPTIONS
+  OpraPillarXbxo = 33,
+  // OPRA - CBOE C2 OPTIONS EXCHANGE
+  OpraPillarC2Ox = 34,
+  // OPRA - NASDAQ PHLX
+  OpraPillarXphl = 35,
+  // OPRA - CBOE BZX Options Exchange
+  OpraPillarBato = 36,
+  // OPRA - MEMX OPTIONS EXCHANGE
+  OpraPillarMxop = 37,
+  // Investors Exchange TOPS
+  IexgTopsIexg = 38,
+  // DBEQ Basic - Nyse Chicago
+  DbeqBasicXchi = 39,
+  // DBEQ Basic - Nyse National
+  DbeqBasicXcis = 40,
+  // DBEQ Basic - Investors Exchange
+  DbeqBasicIexg = 41,
+  // DBEQ Basic - MIAX Pearl
+  DbeqBasicEprl = 42,
+};
+
+// Get a Publisher's Venue.
+constexpr Venue PublisherVenue(Publisher publisher);
+
+// Get a Publisher's Dataset.
+constexpr Dataset PublisherDataset(Publisher publisher);
+
+template <typename T>
+T FromString(const std::string& str);
+const char* ToString(Venue venue);
+std::ostream& operator<<(std::ostream& out, Venue venue);
+template <>
+Venue FromString(const std::string& str);
+
+const char* ToString(Dataset dataset);
+std::ostream& operator<<(std::ostream& out, Dataset dataset);
+template <>
+Dataset FromString(const std::string& str);
+
+const char* ToString(Publisher publisher);
+std::ostream& operator<<(std::ostream& out, Publisher publisher);
+template <>
+Publisher FromString(const std::string& str);
+
+}  // namespace databento