MOD: Modify display of definition fields in C++

databento · Apr 17, 2024 · bde3e96 · bde3e96
1 parent 5ac56ba
commit bde3e96
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Showing 4 changed files with 15 additions and 7 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -1,5 +1,13 @@
 # Changelog
 
+## 0.18.0 - TBD
+
+### Breaking changes
+- 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

diff --git a/src/compat.cpp b/src/compat.cpp
@@ -205,18 +205,18 @@ 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)

diff --git a/src/record.cpp b/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)

diff --git a/test/src/record_tests.cpp b/test/src/record_tests.cpp
@@ -150,7 +150,7 @@ TEST(RecordTests, TestInstrumentDefMsgToString) {
     hd = RecordHeader { length = 100, rtype = InstrumentDef, publisher_id = 1, instrument_id = 1, ts_event = 1970-01-01T00:00:00.000000000Z },
     ts_recv = 1970-01-01T00:00:00.000000000Z,
     min_price_increment = 0.000000001,
-    display_factor = 2,
+    display_factor = 0.000000002,
     expiration = 1970-01-01T00:00:00.000000000Z,
     activation = 1970-01-01T00:00:00.000000000Z,
     high_limit_price = 0.000000005,
@@ -159,7 +159,7 @@ TEST(RecordTests, TestInstrumentDefMsgToString) {
     trading_reference_price = 0.000000008,
     unit_of_measure_qty = 0.000000009,
     min_price_increment_amount = 0.000000010,
-    price_ratio = 11,
+    price_ratio = 0.000000011,
     strike_price = kUndefPrice,
     inst_attrib_value = 12,
     underlying_id = 13,