Functionsยง
- decode_
bar_ type - Errors
- decode_
bbo_ msg - Decodes a Databento BBO (Best Bid and Offer) message into a
QuoteTick
. - decode_
cbbo_ msg - Decodes a Databento CBBO (Consolidated Best Bid and Offer) message.
- decode_
cmbp1_ msg - Decodes a Databento CMBP1 (Consolidated Market by Price Level 1) message.
- decode_
equity - Decodes a Databento instrument definition message into an
Equity
instrument. - decode_
futures_ contract - Decodes a Databento instrument definition message into a
FuturesContract
instrument. - decode_
futures_ spread - Decodes a Databento instrument definition message into a
FuturesSpread
instrument. - decode_
imbalance_ msg - Decodes a Databento imbalance message into a
DatabentoImbalance
event. - decode_
instrument_ def_ msg - Errors
- decode_
lot_ size - Decodes a lot size from the given value, expressed in standard whole-number units.
- decode_
mbo_ msg - Decodes a Databento MBO (Market by Order) message into an order book delta or trade.
- decode_
mbp1_ msg - Decodes a Databento MBP1 (Market by Price Level 1) message into quote and optional trade ticks.
- decode_
mbp10_ msg - Decodes a Databento MBP10 (Market by Price 10 levels) message into an
OrderBookDepth10
. - decode_
multiplier - Decodes a multiplier from the given value, expressed in units of 1e-9. Uses exact integer arithmetic to avoid precision loss in financial calculations.
- decode_
ohlcv_ msg - Errors
- decode_
option_ contract - Decodes a Databento instrument definition message into an
OptionContract
instrument. - decode_
option_ spread - Decodes a Databento instrument definition message into an
OptionSpread
instrument. - decode_
optional_ price - Decodes a price from the given optional value, expressed in units of 1e-9.
- decode_
optional_ quantity - Decodes a quantity from the given optional value, where
i64::MAX
indicates missing data. - decode_
price - Decodes a price from the given value, expressed in units of 1e-9.
- decode_
price_ increment - Decodes a minimum price increment from the given value, expressed in units of 1e-9.
- decode_
quantity - Decodes a quantity from the given value, expressed in standard whole-number units.
- decode_
record - Errors
- decode_
statistics_ msg - Decodes a Databento statistics message into a
DatabentoStatistics
event. - decode_
status_ msg - Decodes a Databento status message into an
InstrumentStatus
event. - decode_
tbbo_ msg - Decodes a Databento TBBO (Top of Book with Trade) message into quote and trade ticks.
- decode_
tcbbo_ msg - Decodes a Databento TCBBO (Consolidated Top of Book with Trade) message.
- decode_
trade_ msg - Decodes a Databento Trade message into a
TradeTick
. - decode_
ts_ event_ adjustment - Errors
- parse_
aggressor_ side - parse_
book_ action - Parses a Databento book action character into a
BookAction
enum. - parse_
cfi_ iso10926 - Parses a CFI (Classification of Financial Instruments) code to extract asset and instrument classes.
- parse_
option_ kind - Parses a Databento option kind character into an
OptionKind
enum. - parse_
optional_ bool - parse_
order_ side - parse_
status_ reason - Parses a Databento status reason code into a human-readable string.
- parse_
status_ trading_ event - Parses a Databento status trading event code into a human-readable string.