Module decode 

Databento message decoding functions.

Sentinel Values

Databento uses sentinel values to represent undefined/null fields:

Sentinel	Value	Usage
UNDEF_PRICE	i64::MAX	Undefined price fields.
UNDEF_TIMESTAMP	u64::MAX	Undefined timestamp fields.

Fields Potentially Undefined

According to Databento documentation, the following fields can contain sentinel values:

Message Type	Field	Handling
MboMsg	price	Passed through as PRICE_UNDEF.
TradeMsg	price	Passed through as PRICE_UNDEF.
OhlcvMsg	open, high, low, close	Passed through as PRICE_UNDEF.
Mbp1Msg	bid_px, ask_px	Quote skipped if either undefined.
InstrumentDefMsg	activation	Defaults to 0 (epoch).
InstrumentDefMsg	expiration	Returns error if undefined.
InstrumentDefMsg	strike_price	Returns error if undefined.

References

• UNDEF_PRICE
• UNDEF_TIMESTAMP
• Databento DBN Schema

Functions

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_optional_timestamp

Decodes a timestamp from the given optional value.

decode_price

Decodes a price, returning an error if undefined.

decode_price_increment

Decodes a minimum price increment from the given value, expressed in units of 1e-9.

decode_price_or_undef

Decodes a price, returning PRICE_UNDEF if the value is undefined.

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_timestamp

Decodes a timestamp, returning an error if undefined.

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.