VER: Release 0.18.0

CHANGELOG.md

@@ -1,5 +1,18 @@
 # Changelog
 
+## 0.18.0 - 2024-05-14
+
+### Breaking changes
+- Changed `FlagSet` to be more class-like:
+  - Added predicate methods and setters for each bit flag
+  - Improved string formatting
+  - Removed bitwise operators. Bitwise operations can be performed by first casting to a
+    `std::uint8_t` or calling the `Raw()` method
+- 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

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.17.1 LANGUAGES CXX)
+project("databento" VERSION 0.18.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #

cmake/SourcesAndHeaders.cmake

@@ -6,6 +6,14 @@ set(headers
   include/databento/dbn.hpp
   include/databento/dbn_decoder.hpp
   include/databento/dbn_file_store.hpp
+  include/databento/detail/file_stream.hpp
+  include/databento/detail/http_client.hpp
+  include/databento/detail/json_helpers.hpp
+  include/databento/detail/scoped_fd.hpp
+  include/databento/detail/scoped_thread.hpp
+  include/databento/detail/shared_channel.hpp
+  include/databento/detail/tcp_client.hpp
+  include/databento/detail/zstd_stream.hpp
   include/databento/enums.hpp
   include/databento/exceptions.hpp
   include/databento/fixed_price.hpp
@@ -23,14 +31,6 @@ set(headers
   include/databento/symbology.hpp
   include/databento/timeseries.hpp
   include/databento/with_ts_out.hpp
-  include/databento/detail/file_stream.hpp
-  include/databento/detail/http_client.hpp
-  include/databento/detail/json_helpers.hpp
-  include/databento/detail/scoped_fd.hpp
-  include/databento/detail/scoped_thread.hpp
-  include/databento/detail/shared_channel.hpp
-  include/databento/detail/tcp_client.hpp
-  include/databento/detail/zstd_stream.hpp
   src/stream_op_helper.hpp
 )
 
@@ -40,10 +40,18 @@ set(sources
   src/datetime.cpp
   src/dbn.cpp
   src/dbn_decoder.cpp
+  src/dbn_file_store.cpp
+  src/detail/file_stream.cpp
+  src/detail/http_client.cpp
+  src/detail/json_helpers.cpp
+  src/detail/scoped_fd.cpp
+  src/detail/shared_channel.cpp
+  src/detail/tcp_client.cpp
+  src/detail/zstd_stream.cpp
   src/enums.cpp
   src/exceptions.cpp
-  src/dbn_file_store.cpp
   src/fixed_price.cpp
+  src/flag_set.cpp
   src/historical.cpp
   src/live.cpp
   src/live_blocking.cpp
@@ -54,11 +62,4 @@ set(sources
   src/record.cpp
   src/symbol_map.cpp
   src/symbology.cpp
-  src/detail/file_stream.cpp
-  src/detail/http_client.cpp
-  src/detail/json_helpers.cpp
-  src/detail/scoped_fd.cpp
-  src/detail/shared_channel.cpp
-  src/detail/tcp_client.cpp
-  src/detail/zstd_stream.cpp
 )

include/databento/flag_set.hpp

@@ -1,15 +1,15 @@
 #pragma once
 
-#include <bitset>
 #include <cstdint>
 #include <ostream>
+#include <string>
 
 namespace databento {
 // Transparent wrapper around the bit flags used in several DBN record types.
 class FlagSet {
  public:
   using Repr = std::uint8_t;
-  // Indicates it's the last message in the packet from the venue for a given
+  // Indicates it's the last message in the event from the venue for a given
   // `instrument_id`.
   static constexpr Repr kLast = 1 << 7;
   // Indicates a top-of-book message, not an individual order.
@@ -27,61 +27,76 @@ class FlagSet {
 
   friend std::ostream& operator<<(std::ostream&, FlagSet);
 
-  constexpr FlagSet() = default;
+  constexpr FlagSet() : repr_{0} {};
 
-  constexpr FlagSet(  // cppcheck-suppress noExplicitConstructor
-      std::uint8_t repr)
-      : repr_{repr} {}
+  explicit constexpr FlagSet(Repr repr) : repr_{repr} {}
 
   explicit constexpr operator std::uint8_t() const { return repr_; }
 
-  constexpr FlagSet operator~() const {
-    return FlagSet{static_cast<Repr>(~repr_)};
-  }
+  constexpr bool operator==(FlagSet rhs) const { return repr_ == rhs.repr_; }
+  constexpr bool operator!=(FlagSet rhs) const { return repr_ != rhs.repr_; }
 
-  constexpr FlagSet operator|(FlagSet rhs) const {
-    return FlagSet{static_cast<Repr>(repr_ | rhs.repr_)};
+  FlagSet Clear() {
+    repr_ = 0;
+    return *this;
   }
 
-  constexpr FlagSet operator&(FlagSet rhs) const {
-    return FlagSet{static_cast<Repr>(repr_ & rhs.repr_)};
-  }
+  constexpr Repr Raw() const { return repr_; }
+  void SetRaw(Repr raw) { repr_ = raw; }
 
-  constexpr FlagSet operator^(FlagSet rhs) const {
-    return FlagSet{static_cast<Repr>(repr_ ^ rhs.repr_)};
+  // Checks if any flags are set.
+  constexpr bool Any() const { return repr_ != 0; }
+  constexpr bool IsEmpty() const { return repr_ == 0; }
+  constexpr bool IsLast() const { return bits_.last; }
+  FlagSet SetLast() {
+    bits_.last = true;
+    return *this;
   }
-
-  FlagSet operator|=(FlagSet rhs) {
-    repr_ = repr_ | rhs.repr_;
+  constexpr bool IsTob() const { return bits_.tob; }
+  FlagSet SetTob() {
+    bits_.tob = true;
     return *this;
   }
-
-  FlagSet operator&=(FlagSet rhs) {
-    repr_ = repr_ & rhs.repr_;
+  constexpr bool IsSnapshot() const { return bits_.snapshot; }
+  FlagSet SetSnapshot() {
+    bits_.snapshot = true;
     return *this;
   }
-
-  FlagSet operator^=(FlagSet rhs) {
-    repr_ = repr_ ^ rhs.repr_;
+  constexpr bool IsMbp() const { return bits_.mbp; }
+  FlagSet SetMbp() {
+    bits_.mbp = true;
+    return *this;
+  }
+  constexpr bool IsBadTsRecv() const { return bits_.bad_ts_recv; }
+  FlagSet SetBadTsRecv() {
+    bits_.bad_ts_recv = true;
+    return *this;
+  }
+  constexpr bool IsMaybeBadBook() const { return bits_.maybe_bad_book; }
+  FlagSet SetMaybeBadBook() {
+    bits_.maybe_bad_book = true;
     return *this;
   }
-
-  constexpr bool operator==(FlagSet rhs) const { return repr_ == rhs.repr_; }
-
-  constexpr bool operator!=(FlagSet rhs) const { return repr_ != rhs.repr_; }
-
-  // Checks if any flags are set.
-  constexpr bool Any() const { return repr_ != 0; }
 
  private:
-  Repr repr_{};
+  struct BitFlags {
+    bool reserved0 : 1;
+    bool reserved1 : 1;
+    bool maybe_bad_book : 1;
+    bool bad_ts_recv : 1;
+    bool mbp : 1;
+    bool snapshot : 1;
+    bool tob : 1;
+    bool last : 1;
+  };
+  union {
+    BitFlags bits_;
+    Repr repr_;
+  };
 };
 
-inline std::ostream& operator<<(std::ostream& stream, FlagSet flag) {
-  // print as binary
-  stream << "0b" << std::bitset<8>{flag.repr_};
-  return stream;
-}
+std::ostream& operator<<(std::ostream& stream, FlagSet flag_set);
+std::string ToString(FlagSet flags);
 
 static_assert(sizeof(FlagSet) == sizeof(std::uint8_t),
               "FlagSet must be a transparent wrapper around std::uint8_t");

pkg/PKGBUILD

@@ -1,7 +1,7 @@
 # Maintainer: Databento <[email protected]>
 _pkgname=databento-cpp
 pkgname=databento-cpp-git
-pkgver=0.17.1
+pkgver=0.18.0
 pkgrel=1
 pkgdesc="Official C++ client for Databento"
 arch=('any')

src/compat.cpp

@@ -110,10 +110,12 @@ SymbolMappingMsgV2 SymbolMappingMsgV1::ToV2() const {
       RecordHeader{sizeof(SymbolMappingMsgV2) / RecordHeader::kLengthMultiplier,
                    RType::SymbolMapping, hd.publisher_id, hd.instrument_id,
                    hd.ts_event},
-      // invalid
+      // Intentionally invalid
+      // NOLINTNEXTLINE(clang-analyzer-optin.core.EnumCastOutOfRange)
       static_cast<SType>(std::numeric_limits<std::uint8_t>::max()),
       {},
-      // invalid
+      // Intentionally invalid
+      // NOLINTNEXTLINE(clang-analyzer-optin.core.EnumCastOutOfRange)
       static_cast<SType>(std::numeric_limits<std::uint8_t>::max()),
       {},
       start_ts,
@@ -205,18 +207,18 @@ 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)

src/flag_set.cpp

@@ -0,0 +1,48 @@
+#include "databento/flag_set.hpp"
+
+#include <array>
+
+#include "stream_op_helper.hpp"
+
+namespace databento {
+constexpr FlagSet::Repr FlagSet::kLast;
+constexpr FlagSet::Repr FlagSet::kTob;
+constexpr FlagSet::Repr FlagSet::kSnapshot;
+constexpr FlagSet::Repr FlagSet::kMbp;
+constexpr FlagSet::Repr FlagSet::kBadTsRecv;
+constexpr FlagSet::Repr FlagSet::kMaybeBadBook;
+
+std::ostream& operator<<(std::ostream& stream, FlagSet flag_set) {
+  const std::array<std::pair<bool (FlagSet::*)() const, const char*>, 6>
+      kFlagsAndNames = {{
+          {&FlagSet::IsLast, "LAST"},
+          {&FlagSet::IsTob, "TOB"},
+          {&FlagSet::IsSnapshot, "SNAPSHOT"},
+          {&FlagSet::IsMbp, "MBP"},
+          {&FlagSet::IsBadTsRecv, "BAD_TS_RECV"},
+          {&FlagSet::IsMaybeBadBook, "MAYBE_BAD_BOOK"},
+      }};
+
+  bool has_written_flag = false;
+  for (const auto& pair : kFlagsAndNames) {
+    if ((flag_set.*pair.first)()) {
+      if (has_written_flag) {
+        stream << " | " << pair.second;
+      } else {
+        stream << pair.second;
+        has_written_flag = true;
+      }
+    }
+  }
+  // Cast to uint16_t to avoid being formatted as char
+  const auto raw = static_cast<std::uint16_t>(flag_set.Raw());
+  if (has_written_flag) {
+    stream << " (" << raw << ')';
+  } else {
+    stream << raw;
+  }
+  return stream;
+}
+
+std::string ToString(FlagSet flags) { return MakeString(flags); }
+}  // namespace databento

src/live_threaded.cpp

@@ -28,6 +28,7 @@ struct LiveThreaded::Impl {
   }
 
   ILogReceiver* log_receiver;
+  std::atomic<std::thread::id> thread_id_{};
   // Set to false when destructor is called
   std::atomic<bool> keep_going{true};
   KeepGoing last_cb_ret{KeepGoing::Continue};
@@ -114,7 +115,7 @@ void LiveThreaded::Start(MetadataCallback metadata_callback,
                          RecordCallback record_callback,
                          ExceptionCallback exception_callback) {
   // Deadlock check
-  if (std::this_thread::get_id() == thread_.Id()) {
+  if (std::this_thread::get_id() == impl_->thread_id_) {
     std::ostringstream log_ss;
     log_ss << "[LiveThreaded::Start] Called Start from callback thread, which "
               "would cause a deadlock. Ignoring.";
@@ -161,6 +162,7 @@ void LiveThreaded::ProcessingThread(Impl* impl,
   static constexpr auto kMethodName = "LiveThreaded::ProcessingThread";
   constexpr std::chrono::milliseconds kTimeout{50};
 
+  impl->thread_id_ = std::this_thread::get_id();
   const auto metadata_cb{std::move(metadata_callback)};
   const auto record_cb{std::move(record_callback)};
   const auto exception_cb{std::move(exception_callback)};

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)