dbn

Module record

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Market data types for encoding different Databento Schemas in the most recent DBN version, as well as conversion functions.

Structs§

  • BboMsg
    Subsampled market by price with a known book depth of 1. The record of the Bbo1S and Bbo1M schemas.
  • BidAskPair
    A level.
  • CbboMsg
    Subsampled market by price with a known book depth of 1. The record of the Bbo1S and Bbo1M schemas.
  • Cmbp1Msg
    Consolidated market by price implementation with a known book depth of 1. The record of the Cmbp1 schema.
  • ConsolidatedBidAskPair
    A price level consolidated from multiple venues.
  • ErrorMsg
    An error message from the Databento Live Subscription Gateway (LSG).
  • ImbalanceMsg
    An auction imbalance message.
  • InstrumentDefMsg
    Definition of an instrument. The record of the Definition schema.
  • MboMsg
    A market-by-order (MBO) tick message. The record of the Mbo schema.
  • Mbp1Msg
    Market by price implementation with a known book depth of 1. The record of the Mbp1 schema.
  • Mbp10Msg
    Market by price implementation with a known book depth of 10. The record of the Mbp10 schema.
  • OhlcvMsg
    Open, high, low, close, and volume. The record of the following schemas:
  • RecordHeader
    Common data for all Databento records. Always found at the beginning of a record struct.
  • StatMsg
    A statistics message. A catchall for various data disseminated by publishers. The stat_type indicates the statistic contained in the message.
  • StatusMsg
    A trading status update message. The record of the Status schema.
  • SymbolMappingMsg
    A symbol mapping message which maps a symbol of one SType to another.
  • SystemMsg
    A non-error message from the Databento Live Subscription Gateway (LSG). Also used for heartbeating.
  • TradeMsg
    Market by price implementation with a book depth of 0. Equivalent to MBP-0. The record of the Trades schema.
  • WithTsOut
    Wrapper object for records that include the live gateway send timestamp (ts_out).

Traits§

  • HasRType
    An extension of the Record trait for types with a static RType. Used for determining if a rtype matches a type.
  • Record
    Used for polymorphism around types all beginning with a RecordHeader where rtype is the discriminant used for indicating the type of record.
  • RecordMut
    Used for polymorphism around mutable types beginning with a RecordHeader.

Functions§

  • c_chars_to_str
    Tries to convert a slice of c_chars to a UTF-8 str.
  • str_to_c_chars
    Tries to convert a str slice to fixed-length null-terminated C char array.
  • transmute_header_bytes⚠
    Provides a relatively safe method for converting a view on bytes into a a RecordHeader. Because it accepts a reference, the lifetime of the returned reference is tied to the input.
  • transmute_record⚠
    Provides a relatively safe method for converting a reference to a RecordHeader to a struct beginning with the header. Because it accepts a reference, the lifetime of the returned reference is tied to the input.
  • transmute_record_bytes⚠
    Provides a relatively safe method for converting a reference to RecordHeader to a struct beginning with the header. Because it accepts a reference, the lifetime of the returned reference is tied to the input. This function checks rtype before casting to ensure bytes contains a T.
  • transmute_record_mut⚠
    Provides a relatively safe method for converting a mut reference to a RecordHeader to a struct beginning with the header. Because it accepts a reference, the lifetime of the returned reference is tied to the input.
  • ts_to_dt
    Parses a raw nanosecond-precision UNIX timestamp to an OffsetDateTime. Returns None if ts contains the sentinel for a null timestamp.

Type Aliases§