databento 0.51.0

Official Databento client library
Documentation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
use std::collections::HashMap;
use std::io;

use async_compression::tokio::bufread::ZstdDecoder;
use dbn::VersionUpgradePolicy;
use futures::TryStreamExt;
use reqwest::{header::ACCEPT, IntoUrl, RequestBuilder, Url};
use serde::Deserialize;
use tokio::io::{AsyncBufReadExt, BufReader};
use tracing::{error, warn};

use crate::{error::ApiError, ApiKey, Error, USER_AGENT};

use super::{
    batch::BatchClient, metadata::MetadataClient, symbology::SymbologyClient,
    timeseries::TimeseriesClient, HistoricalGateway, API_VERSION,
};

/// The Historical client. Used for symbology resolutions, metadata requests, Historical
/// data older than 24 hours, and submitting batch downloads.
///
/// Use [`HistoricalClient::builder()`](Client::builder) to get a type-safe builder for
/// initializing the required parameters for the client.
///
/// Individual API methods are accessed through its four subclients:
/// - [`metadata()`](Self::metadata)
/// - [`timeseries()`](Self::timeseries)
/// - [`symbology()`](Self::symbology)
/// - [`batch()`](Self::batch)
#[derive(Debug, Clone)]
pub struct Client {
    key: ApiKey,
    base_url: Url,
    gateway: HistoricalGateway,
    upgrade_policy: VersionUpgradePolicy,
    client: reqwest::Client,
}

#[derive(Debug, Deserialize)]
#[serde(untagged)]
pub(crate) enum ApiErrorResponse {
    Simple { detail: String },
    Business { detail: BusinessErrorDetails },
}

#[derive(Debug, Deserialize)]
pub(crate) struct BusinessErrorDetails {
    case: Option<String>,
    message: String,
    docs: String,
    #[serde(default)]
    payload: Option<HashMap<String, serde_json::Value>>,
}

pub(crate) const WARNING_HEADER: &str = "X-Warning";
pub(crate) const REQUEST_ID_HEADER: &str = "request-id";

impl Client {
    /// Returns a type-safe builder for setting the required parameters
    /// for initializing a [`HistoricalClient`](Client).
    pub fn builder() -> ClientBuilder<Unset> {
        ClientBuilder::default()
    }

    /// Creates a new client with the given API key.
    ///
    /// # Errors
    /// This function returns an error when it fails to build the HTTP client.
    pub fn new(key: String, gateway: HistoricalGateway) -> crate::Result<Self> {
        Self::builder().key(key)?.gateway(gateway).build()
    }

    /// Creates a new client with a specific API URL. This is an advanced method and
    /// [`builder()`](Self::builder) or [`new()`](Self::new) should be used instead.
    ///
    /// # Errors
    /// This function returns an error when the `url` is invalid.
    #[deprecated(since = "0.28.0", note = "Use the builder instead")]
    pub fn with_url(
        url: impl IntoUrl,
        key: String,
        gateway: HistoricalGateway,
    ) -> crate::Result<Self> {
        Self::builder()
            .key(key)?
            .gateway(gateway)
            .base_url(url.into_url()?)
            .build()
    }

    /// Returns the API key used by the instance of the client.
    pub fn key(&self) -> &str {
        &self.key.0
    }

    /// Returns the configured Historical gateway.
    pub fn gateway(&self) -> HistoricalGateway {
        self.gateway
    }

    /// Returns the batch subclient.
    pub fn batch(&mut self) -> BatchClient<'_> {
        BatchClient { inner: self }
    }

    /// Returns the metadata subclient.
    pub fn metadata(&mut self) -> MetadataClient<'_> {
        MetadataClient { inner: self }
    }

    /// Returns the symbology subclient.
    pub fn symbology(&mut self) -> SymbologyClient<'_> {
        SymbologyClient { inner: self }
    }

    /// Returns the timeseries subclient.
    pub fn timeseries(&mut self) -> TimeseriesClient<'_> {
        TimeseriesClient { inner: self }
    }

    pub(crate) fn upgrade_policy(&self) -> VersionUpgradePolicy {
        self.upgrade_policy
    }

    pub(crate) fn get(&mut self, slug: &str) -> crate::Result<RequestBuilder> {
        self.request(reqwest::Method::GET, slug)
    }

    pub(crate) fn get_with_path(&mut self, path: &str) -> crate::Result<RequestBuilder> {
        Ok(self
            .client
            .get(
                self.base_url
                    .join(path)
                    .map_err(|e| Error::Internal(format!("created invalid URL: {e:?}")))?,
            )
            .basic_auth(self.key(), Option::<&str>::None))
    }

    pub(crate) fn post(&mut self, slug: &str) -> crate::Result<RequestBuilder> {
        self.request(reqwest::Method::POST, slug)
    }

    fn request(&mut self, method: reqwest::Method, slug: &str) -> crate::Result<RequestBuilder> {
        Ok(self
            .client
            .request(
                method,
                self.base_url
                    .join(&format!("v{API_VERSION}/{slug}"))
                    .map_err(|e| Error::Internal(format!("created invalid URL: {e:?}")))?,
            )
            .basic_auth(self.key(), Option::<&str>::None))
    }
}

pub(crate) async fn check_http_error(
    response: reqwest::Response,
) -> crate::Result<reqwest::Response> {
    if response.status().is_success() {
        Ok(response)
    } else {
        let request_id = response
            .headers()
            .get(REQUEST_ID_HEADER)
            .and_then(|header| header.to_str().ok().map(ToOwned::to_owned));
        let status_code = response.status();
        let body = response.text().await.unwrap_or_default();
        let err = match serde_json::from_str::<ApiErrorResponse>(&body) {
            Ok(ApiErrorResponse::Simple { detail: message }) => ApiError {
                request_id,
                status_code,
                case: None,
                message,
                docs_url: None,
                payload: None,
            },
            Ok(ApiErrorResponse::Business { detail }) => ApiError {
                request_id,
                status_code,
                case: detail.case,
                message: detail.message,
                docs_url: Some(detail.docs),
                payload: detail.payload.map(Box::new),
            },
            Err(e) => {
                warn!("Failed to deserialize error response to expected JSON format: {e:?}");
                ApiError {
                    request_id,
                    status_code,
                    case: None,
                    message: body,
                    docs_url: None,
                    payload: None,
                }
            }
        };
        Err(Error::Api(err))
    }
}

pub(crate) async fn handle_response<R: serde::de::DeserializeOwned>(
    response: reqwest::Response,
) -> crate::Result<R> {
    check_warnings(&response);
    let response = check_http_error(response).await?;
    let bytes = response.bytes().await?;

    deserialize_json(std::str::from_utf8(&bytes)?)
}

pub(crate) async fn handle_zstd_jsonl_response<R: serde::de::DeserializeOwned>(
    response: reqwest::Response,
) -> crate::Result<Vec<R>> {
    check_warnings(&response);
    let response = check_http_error(response).await?;
    let stream = response.bytes_stream().map_err(io::Error::other);
    let stream_reader = tokio_util::io::StreamReader::new(stream);
    let mut lines_decoder = BufReader::new(ZstdDecoder::new(stream_reader)).lines();
    let mut res = Vec::new();
    while let Some(line) = lines_decoder
        .next_line()
        .await
        .inspect_err(|err| error!(?err, "Failed decoding zstd-compressed JSON line"))?
    {
        res.push(deserialize_json(&line)?);
    }
    Ok(res)
}

fn deserialize_json<R: serde::de::DeserializeOwned>(str: &str) -> crate::Result<R> {
    serde_json::from_str(str).map_err(|err| {
        error!(?err, ?str, "Failed to decode JSON");
        crate::Error::from(err)
    })
}

pub(crate) fn check_warnings(response: &reqwest::Response) {
    if let Some(header) = response.headers().get(WARNING_HEADER) {
        match serde_json::from_slice::<Vec<String>>(header.as_bytes()) {
            Ok(warnings) => {
                for warning in warnings {
                    warn!("{warning}");
                }
            }
            Err(err) => {
                warn!(?err, "Failed to parse server warnings from HTTP header");
            }
        };
    };
}

#[doc(hidden)]
#[derive(Debug, Copy, Clone)]
pub struct Unset;

/// A type-safe builder for the [`HistoricalClient`](Client). It will not allow you to
/// call [`Self::build()`] before setting the required `key` field.
pub struct ClientBuilder<AK> {
    key: AK,
    base_url: Option<Url>,
    gateway: HistoricalGateway,
    upgrade_policy: VersionUpgradePolicy,
    user_agent_ext: Option<String>,
    http_client_builder: Option<reqwest::ClientBuilder>,
}

impl Default for ClientBuilder<Unset> {
    fn default() -> Self {
        Self {
            key: Unset,
            base_url: None,
            gateway: HistoricalGateway::default(),
            upgrade_policy: VersionUpgradePolicy::default(),
            user_agent_ext: None,
            http_client_builder: None,
        }
    }
}

impl<AK> ClientBuilder<AK> {
    /// Overrides the base URL to be used for the Historical API. Normally this is
    /// derived from the gateway.
    pub fn base_url(mut self, url: Url) -> Self {
        self.base_url = Some(url);
        self
    }

    /// Sets the historical gateway to use. Defaults to the BO1 gateway.
    pub fn gateway(mut self, gateway: HistoricalGateway) -> Self {
        self.gateway = gateway;
        self
    }

    /// Sets the DBN version upgrade policy to be used in the
    /// [`Client::timeseries()`] methods.
    pub fn upgrade_policy(mut self, upgrade_policy: VersionUpgradePolicy) -> Self {
        self.upgrade_policy = upgrade_policy;
        self
    }

    /// Extends the user agent. Intended for library authors.
    pub fn user_agent_extension(mut self, extension: String) -> Self {
        self.user_agent_ext = Some(extension);
        self
    }

    /// Provides a custom [`reqwest::ClientBuilder`] for advanced HTTP client
    /// configuration.
    ///
    /// This allows configuring timeouts, TLS settings, and other HTTP client options.
    /// The builder will be finalized with Databento's settings (user-agent and default
    /// headers).
    ///
    /// # Example
    /// ```
    /// use std::time::Duration;
    ///
    /// let client = databento::HistoricalClient::builder()
    ///     .key("db-xxxxxxxxxxxxxxxxxxxxxxxxxxxxx")?
    ///     .http_client_builder(
    ///         reqwest::ClientBuilder::new()
    ///             .timeout(Duration::from_secs(60))
    ///             .connect_timeout(Duration::from_secs(10))
    ///     )
    ///     .build()?;
    /// # Ok::<(), databento::Error>(())
    /// ```
    pub fn http_client_builder(mut self, builder: reqwest::ClientBuilder) -> Self {
        self.http_client_builder = Some(builder);
        self
    }
}

impl ClientBuilder<Unset> {
    /// Creates a new [`ClientBuilder`].
    pub fn new() -> Self {
        Self::default()
    }

    /// Sets the API key.
    ///
    /// # Errors
    /// This function returns an error when the API key is invalid.
    pub fn key(self, key: impl ToString) -> crate::Result<ClientBuilder<ApiKey>> {
        Ok(ClientBuilder {
            key: ApiKey::new(key.to_string())?,
            base_url: self.base_url,
            gateway: self.gateway,
            upgrade_policy: self.upgrade_policy,
            user_agent_ext: self.user_agent_ext,
            http_client_builder: self.http_client_builder,
        })
    }

    /// Sets the API key reading it from the `DATABENTO_API_KEY` environment
    /// variable.
    ///
    /// # Errors
    /// This function returns an error when the environment variable is not set or the
    /// API key is invalid.
    pub fn key_from_env(self) -> crate::Result<ClientBuilder<ApiKey>> {
        let key = crate::key_from_env()?;
        self.key(key)
    }
}

impl ClientBuilder<ApiKey> {
    /// Initializes the client.
    ///
    /// # Errors
    /// This function returns an error when it fails to build the HTTP client.
    pub fn build(self) -> crate::Result<Client> {
        let base_url = if let Some(url) = self.base_url {
            url
        } else {
            self.gateway
                .as_url()
                .parse()
                .map_err(|e| Error::bad_arg("gateway", format!("{e:?}")))?
        };
        let mut headers = reqwest::header::HeaderMap::new();
        headers.insert(ACCEPT, "application/json".parse().unwrap());
        let user_agent = self
            .user_agent_ext
            .map(|ext| format!("{} {ext}", *USER_AGENT))
            .unwrap_or_else(|| USER_AGENT.clone());
        let http_client = self
            .http_client_builder
            .unwrap_or_default()
            .user_agent(user_agent)
            .default_headers(headers)
            .build()?;
        Ok(Client {
            key: self.key,
            base_url,
            gateway: self.gateway,
            upgrade_policy: self.upgrade_policy,
            client: http_client,
        })
    }
}

#[cfg(test)]
mod tests {
    use reqwest::StatusCode;
    use wiremock::{matchers::method, Mock, MockServer, ResponseTemplate};

    use super::*;

    #[tokio::test]
    async fn check_http_error_simple_detail() {
        const BODY: &str = r#"{"detail": "Authorization failed: bad key."}"#;
        let mock_server = MockServer::start().await;
        Mock::given(method("GET"))
            .respond_with(
                ResponseTemplate::new(StatusCode::UNAUTHORIZED.as_u16()).set_body_string(BODY),
            )
            .mount(&mock_server)
            .await;
        let resp = reqwest::get(mock_server.uri()).await.unwrap();
        let Error::Api(api_err) = check_http_error(resp).await.unwrap_err() else {
            panic!("expected Error::Api");
        };
        assert_eq!(api_err.status_code, StatusCode::UNAUTHORIZED);
        assert_eq!(api_err.message, "Authorization failed: bad key.");
        assert!(api_err.case.is_none());
        assert!(api_err.docs_url.is_none());
        assert!(api_err.payload.is_none());
    }

    #[tokio::test]
    async fn check_http_error_business_detail() {
        const BODY: &str = r#"{
            "detail": {
                "case": "data_start_before_available_start",
                "message": "`start` was before the available start.",
                "status_code": 422,
                "docs": "https://databento.com/docs/api-reference-historical/metadata/metadata-get-dataset",
                "payload": {
                    "dataset": "GLBX.MDP3",
                    "start": "2022-06-10T00:00:00.000000000Z",
                    "available_start": "2022-12-11T00:00:00.000000000Z"
                }
            }
        }"#;
        let mock_server = MockServer::start().await;
        Mock::given(method("GET"))
            .respond_with(
                ResponseTemplate::new(StatusCode::UNPROCESSABLE_ENTITY.as_u16())
                    .set_body_string(BODY),
            )
            .mount(&mock_server)
            .await;
        let resp = reqwest::get(mock_server.uri()).await.unwrap();
        let Error::Api(api_err) = check_http_error(resp).await.unwrap_err() else {
            panic!("expected Error::Api");
        };
        assert_eq!(api_err.status_code, StatusCode::UNPROCESSABLE_ENTITY);
        assert_eq!(
            api_err.case.as_deref(),
            Some("data_start_before_available_start")
        );
        assert_eq!(api_err.message, "`start` was before the available start.");
        assert_eq!(
            api_err.docs_url.as_deref(),
            Some(
                "https://databento.com/docs/api-reference-historical/metadata/metadata-get-dataset"
            )
        );
        let payload = api_err.payload.expect("expected payload");
        assert_eq!(
            payload.get("dataset").and_then(|v| v.as_str()),
            Some("GLBX.MDP3")
        );
        assert!(payload.contains_key("available_start"));
    }

    #[tokio::test]
    async fn check_http_error_business_detail_no_payload() {
        const BODY: &str = r#"{
            "detail": {
                "case": "validation_failed",
                "message": "bad input",
                "status_code": 400,
                "docs": "https://databento.com/docs"
            }
        }"#;
        let mock_server = MockServer::start().await;
        Mock::given(method("GET"))
            .respond_with(
                ResponseTemplate::new(StatusCode::BAD_REQUEST.as_u16()).set_body_string(BODY),
            )
            .mount(&mock_server)
            .await;
        let resp = reqwest::get(mock_server.uri()).await.unwrap();
        let Error::Api(api_err) = check_http_error(resp).await.unwrap_err() else {
            panic!("expected Error::Api");
        };
        assert_eq!(api_err.case.as_deref(), Some("validation_failed"));
        assert!(api_err.payload.is_none());
    }

    #[test]
    fn api_error_display_includes_case() {
        let err = ApiError {
            request_id: Some("abc123".to_string()),
            status_code: StatusCode::UNPROCESSABLE_ENTITY,
            case: Some("dataset_not_found".to_string()),
            message: "Dataset not found.".to_string(),
            docs_url: Some("https://databento.com/docs".to_string()),
            payload: None,
        };
        let rendered = err.to_string();
        assert!(rendered.contains("dataset_not_found"), "{rendered}");
        assert!(rendered.contains("abc123"), "{rendered}");
        assert!(rendered.contains("Dataset not found."), "{rendered}");
    }

    #[tokio::test]
    async fn check_http_error_non_json() {
        const BODY: &str = "<html><body><h1>502 Bad Gateway</h1>
The server returned an invalid or incomplete response.
</body></html>";
        let mock_server = MockServer::start().await;

        Mock::given(method("GET"))
            .respond_with(
                ResponseTemplate::new(StatusCode::BAD_GATEWAY.as_u16()).set_body_string(BODY),
            )
            .mount(&mock_server)
            .await;
        let resp = reqwest::get(mock_server.uri()).await.unwrap();
        let err = check_http_error(resp).await.unwrap_err();
        assert!(
            matches!(err, Error::Api(api_err) if api_err.status_code == StatusCode::BAD_GATEWAY && api_err.message == BODY && api_err.docs_url.is_none())
        );
    }
}