dbn 0.54.0

Library for working with Databento Binary Encoding (DBN)
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

//! Contains new types for pretty-printing timestamp and prices found in DBN records.

use std::fmt;

use time::format_description::BorrowedFormatItem;

use crate::FIXED_PRICE_SCALE;

/// A [new type](https://doc.rust-lang.org/rust-by-example/generics/new_types.html)
/// for formatting nanosecond UNIX timestamps to the canonical ISO 8601 format used
/// by Databento.
///
/// Supports
/// - width `{:N}` to specify a minimum width of `N` characters
/// - fill and alignment: change the default fill character from a space
///   and alignment from the default of right-aligned. See the
///   [format docs](https://doc.rust-lang.org/std/fmt/index.html#fillalignment) for
///   details
#[derive(Clone, Copy, Default, PartialEq, Eq, PartialOrd, Ord)]
#[repr(transparent)]
pub struct Ts(pub u64);

/// A [new type](https://doc.rust-lang.org/rust-by-example/generics/new_types.html) for
/// formatting the fixed-precision prices used in DBN.
///
/// Supports
/// - sign `{:+}` to always print the sign
/// - width `{:N}` to specify a minimum width of `N` characters
/// - fill and alignment: change the default fill character from a space
///   and alignment from the default of right-aligned. See the
///   [format docs](https://doc.rust-lang.org/std/fmt/index.html#fillalignment) for
///   details
/// - precision `{:.N}` to print `N` decimal places. By default all 9 are printed
#[derive(Clone, Copy, Default, PartialEq, Eq, PartialOrd, Ord)]
#[repr(transparent)]
pub struct Px(pub i64);

impl From<u64> for Ts {
    fn from(value: u64) -> Self {
        Self(value)
    }
}

impl From<i64> for Px {
    fn from(value: i64) -> Self {
        Self(value)
    }
}

impl fmt::Debug for Ts {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        self.0.fmt(f)
    }
}

impl fmt::Debug for Px {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        fmt::Display::fmt(&self, f)
    }
}

impl fmt::Display for Ts {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        const TS_FORMAT: &[BorrowedFormatItem<'static>] = time::macros::format_description!(
            "[year]-[month]-[day]T[hour]:[minute]:[second].[subsecond digits:9]Z"
        );
        let ts = self.0;
        if ts != 0 {
            // Should always be in range because we're widening from u64 to i128
            let dt = time::OffsetDateTime::from_unix_timestamp_nanos(ts as i128).unwrap();
            if let Ok(dt_str) = dt.format(TS_FORMAT) {
                f.pad(&dt_str)?;
            } else {
                // Fall back to regular int formatting
                fmt::Display::fmt(&ts, f)?;
            }
        }
        Ok(())
    }
}

impl fmt::Display for Px {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        const DIVISORS: [i64; 9] = [
            0,
            100_000_000,
            10_000_000,
            1_000_000,
            100_000,
            10_000,
            1_000,
            100,
            10,
        ];
        let px = self.0;
        if px == crate::UNDEF_PRICE {
            f.write_str("UNDEF_PRICE")
        } else {
            let (is_nonnegative, px_abs) = if px < 0 { (false, -px) } else { (true, px) };
            let px_integer = px_abs / FIXED_PRICE_SCALE;
            let px_fraction = px_abs % FIXED_PRICE_SCALE;
            match f.precision() {
                Some(0) => f.pad_integral(is_nonnegative, "", itoa::Buffer::new().format(px_abs)),
                Some(precision @ ..9) => f.pad_integral(
                    is_nonnegative,
                    "",
                    &format!(
                        "{px_integer}.{:0precision$}",
                        px_fraction / DIVISORS[precision]
                    ),
                ),
                Some(_) | None => f.pad_integral(
                    is_nonnegative,
                    "",
                    &format!("{px_integer}.{px_fraction:09}"),
                ),
            }
        }
    }
}

/// Converts a fixed-precision price to a decimal string with all 9 decimal places
/// printed. Use [`Px`] to customize the number of printed decimal places, alignment,
/// fill, and other formatting options.
pub fn fmt_px(px: i64) -> String {
    let mut out = String::new();
    fmt_px_into(&mut out, px)
        // Writing to a string is infallible
        .unwrap();
    out
}

pub(crate) fn fmt_px_into<W: fmt::Write>(mut out: W, px: i64) -> fmt::Result {
    if px == crate::UNDEF_PRICE {
        write!(out, "UNDEF_PRICE")
    } else {
        let (sign, px_abs) = if px < 0 { ("-", -px) } else { ("", px) };
        let px_integer = px_abs / FIXED_PRICE_SCALE;
        let px_fraction = px_abs % FIXED_PRICE_SCALE;
        write!(
            out,
            "{sign}{}.{:0>9}",
            itoa::Buffer::new().format(px_integer),
            itoa::Buffer::new().format(px_fraction)
        )
    }
}

/// Converts a nanosecond UNIX timestamp to a human-readable string in the format
/// `[year]-[month]-[day]T[hour]:[minute]:[second].[subsecond digits:9]Z`.
///
/// Note: this function does not check for [`UNDEF_TIMESTAMP`](crate::UNDEF_TIMESTAMP).
pub fn fmt_ts(ts: u64) -> String {
    format!("{}", Ts(ts))
}

/// Converts a fixed-precision price to a floating point.
///
/// `UNDEF_PRICE` will be converted to NaN.
pub fn px_to_f64(px: i64) -> f64 {
    if px == crate::UNDEF_PRICE {
        f64::NAN
    } else {
        px as f64 / FIXED_PRICE_SCALE as f64
    }
}

#[cfg(test)]
mod tests {
    use rstest::*;

    use crate::{UNDEF_PRICE, UNDEF_TIMESTAMP};

    use super::*;

    #[rstest]
    #[case::negative(-100_000, "-0.000100000")]
    #[case::positive(32_500_000_000, "32.500000000")]
    #[case::leading_zero(101_005_000_000, "101.005000000")]
    #[case::zero(0, "0.000000000")]
    #[case::undef(UNDEF_PRICE, "UNDEF_PRICE")]
    fn test_pretty_px(#[case] num: i64, #[case] exp: &str) {
        assert_eq!(fmt_px(num), exp);
        assert_eq!(format!("{}", Px(num)), exp);
    }

    #[rstest]
    #[case::negative(-100_000, "-0.000100000")]
    #[case::positive(300_000, "+0.000300000")]
    #[case::positive(32_500_000_000, "+32.500000000")]
    #[case::zero(0, "+0.000000000")]
    fn test_sign(#[case] num: i64, #[case] exp: &str) {
        let num = Px(num);
        assert_eq!(format!("{num:+}"), exp);
    }

    #[rstest]
    #[case::positive(32_500_000_000, 3, "32.500")]
    #[case::leading_zero(101_005_000_000, 5, "101.00500")]
    #[case::leading_zero(75_000_000, 6, "0.075000")]
    #[case::trunc(32_123_456_789, 2, "32.12")]
    fn test_precision(#[case] num: i64, #[case] precision: usize, #[case] exp: &str) {
        let num = Px(num);
        assert_eq!(format!("{num:.precision$}"), exp);
    }

    #[rstest]
    #[case::positive(32_500_000_000, 4, 3, "32.500", "32.500", "32.500")]
    #[case::positive(32_500_000_000, 8, 3, "  32.500", " 32.500 ", "32.500  ")]
    // Center-aligned defaults to trailing padding when there's an odd number of padding spaces
    #[case::leading_zero(101_005_000_000, 10, 5, " 101.00500", "101.00500 ", "101.00500 ")]
    #[case::leading_zero(75_000_000, 13, 6, "     0.075000", "  0.075000   ", "0.075000     ")]
    #[case::trunc(32_123_456_789, 7, 2, "  32.12", " 32.12 ", "32.12  ")]
    #[case::trunc(
        32_123_456_789,
        16,
        8,
        "     32.12345678",
        "  32.12345678   ",
        "32.12345678     "
    )]
    fn test_alignment_width_precision(
        #[case] num: i64,
        #[case] width: usize,
        #[case] precision: usize,
        #[case] exp_right: &str,
        #[case] exp_center: &str,
        #[case] exp_left: &str,
    ) {
        let num = Px(num);
        assert_eq!(format!("{num:width$.precision$}"), exp_right);
        assert_eq!(format!("{num:>width$.precision$}"), exp_right);
        assert_eq!(format!("{num:^width$.precision$}"), exp_center);
        assert_eq!(format!("{num:<width$.precision$}"), exp_left);
    }

    #[rstest]
    #[case::signed_zero(format!("{:+}", 0), "+0")]
    #[case::uneven_center_align(format!("{:^5}", 12), " 12  ")]
    #[case::high_width_truncating_precision(format!("{0:0<8.2}", 0.125), "0.120000")]
    fn confirm_std_behavior(#[case] out: String, #[case] exp: &str) {
        assert_eq!(out, exp);
    }

    #[rstest]
    #[case::positive(32_500_000_000, 4, 3, "32.500", "32.500", "32.500")]
    #[case::positive(32_500_000_000, 8, 3, "0032.500", "032.5000", "32.50000")]
    // Center-aligned defaults to trailing padding when there's an odd number of padding spaces
    #[case::leading_zero(101_005_000_000, 10, 5, "0101.00500", "101.005000", "101.005000")]
    #[case::leading_zero(75_000_000, 13, 6, "000000.075000", "000.075000000", "0.07500000000")]
    #[case::trunc(32_123_456_789, 7, 2, "0032.12", "032.120", "32.1200")]
    #[case::trunc(
        32_123_456_789,
        16,
        8,
        "0000032.12345678",
        "0032.12345678000",
        "32.1234567800000"
    )]
    fn test_zero_fill_alignment_width_precision(
        #[case] num: i64,
        #[case] width: usize,
        #[case] precision: usize,
        #[case] exp_right: &str,
        #[case] exp_center: &str,
        #[case] exp_left: &str,
    ) {
        let num = Px(num);
        assert_eq!(format!("{num:0width$.precision$}"), exp_right);
        assert_eq!(format!("{num:0>width$.precision$}"), exp_right);
        assert_eq!(format!("{num:0^width$.precision$}"), exp_center);
        assert_eq!(format!("{num:0<width$.precision$}"), exp_left);
    }

    #[rstest]
    #[case::zero(0, "")]
    #[case::one(1, "1970-01-01T00:00:00.000000001Z")]
    #[case::recent(1622838300000000000, "2021-06-04T20:25:00.000000000Z")]
    #[case::max(UNDEF_TIMESTAMP - 1, "2554-07-21T23:34:33.709551614Z")]
    fn test_fmt_ts(#[case] ts: u64, #[case] exp: &str) {
        assert_eq!(fmt_ts(ts), exp);
    }

    #[test]
    fn test_ts_alignment_and_fill() {
        let ts = 1622838300000000000;
        assert_eq!(
            format!("{:33}", Ts(ts)),
            "2021-06-04T20:25:00.000000000Z   "
        );
        assert_eq!(
            format!("{:<33}", Ts(ts)),
            "2021-06-04T20:25:00.000000000Z   "
        );
        assert_eq!(
            format!("{:^33}", Ts(ts)),
            " 2021-06-04T20:25:00.000000000Z  "
        );
        assert_eq!(
            format!("{:>33}", Ts(ts)),
            "   2021-06-04T20:25:00.000000000Z"
        );
    }
}