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1360 lines (1337 loc) · 30.1 KB
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#include "databento/enums.hpp"
#include <cstdint>
#include <ostream>
#include <string>
#include "databento/exceptions.hpp" // InvalidArgumentError
namespace databento {
const char* UrlFromGateway(HistoricalGateway gateway) {
switch (gateway) {
case HistoricalGateway::Bo1: {
return "https://hist.databento.com";
}
default: {
throw InvalidArgumentError{
"UrlFromGateway", "gateway",
"unknown value " + std::to_string(static_cast<std::uint8_t>(gateway))};
}
}
}
const char* ToString(FeedMode mode) {
switch (mode) {
case FeedMode::Historical: {
return "historical";
}
case FeedMode::HistoricalStreaming: {
return "historical-streaming";
}
case FeedMode::Live: {
return "live";
}
default: {
return "unknown";
}
}
}
const char* ToString(SplitDuration duration_interval) {
switch (duration_interval) {
case SplitDuration::Day: {
return "day";
}
case SplitDuration::Week: {
return "week";
}
case SplitDuration::Month: {
return "month";
}
case SplitDuration::Year: {
return "year";
}
case SplitDuration::None: {
return "none";
}
default: {
return "unknown";
}
}
}
const char* ToString(Delivery delivery) {
switch (delivery) {
case Delivery::Download: {
return "download";
}
default: {
return "unknown";
}
}
}
const char* ToString(JobState state) {
switch (state) {
case JobState::Queued: {
return "queued";
}
case JobState::Processing: {
return "processing";
}
case JobState::Done: {
return "done";
}
case JobState::Expired: {
return "expired";
}
default: {
return "unknown";
}
}
}
const char* ToString(DatasetCondition condition) {
switch (condition) {
case DatasetCondition::Available: {
return "available";
}
case DatasetCondition::Degraded: {
return "degraded";
}
case DatasetCondition::Pending: {
return "pending";
}
case DatasetCondition::Missing: {
return "missing";
}
default: {
return "unknown";
}
}
}
const char* ToString(SlowReaderBehavior slow_reader_behavior) {
switch (slow_reader_behavior) {
case SlowReaderBehavior::Warn: {
return "warn";
}
case SlowReaderBehavior::Skip: {
return "skip";
}
default: {
return "Unknown";
}
}
}
const char* ToString(RType r_type) {
switch (r_type) {
case RType::Mbp0: {
return "mbp-0";
}
case RType::Mbp1: {
return "mbp-1";
}
case RType::Mbp10: {
return "mbp-10";
}
case RType::Ohlcv1S: {
return "ohlcv-1s";
}
case RType::Ohlcv1M: {
return "ohlcv-1m";
}
case RType::Ohlcv1H: {
return "ohlcv-1h";
}
case RType::Ohlcv1D: {
return "ohlcv-1d";
}
case RType::OhlcvEod: {
return "ohlcv-eod";
}
case RType::Status: {
return "status";
}
case RType::InstrumentDef: {
return "instrument-def";
}
case RType::Imbalance: {
return "imbalance";
}
case RType::Error: {
return "error";
}
case RType::SymbolMapping: {
return "symbol-mapping";
}
case RType::System: {
return "system";
}
case RType::Statistics: {
return "statistics";
}
case RType::Mbo: {
return "mbo";
}
case RType::Cmbp1: {
return "cmbp-1";
}
case RType::Cbbo1S: {
return "cbbo-1s";
}
case RType::Cbbo1M: {
return "cbbo-1m";
}
case RType::Tcbbo: {
return "tcbbo";
}
case RType::Bbo1S: {
return "bbo-1s";
}
case RType::Bbo1M: {
return "bbo-1m";
}
default: {
return "Unknown";
}
}
}
const char* ToString(Side side) {
switch (side) {
case Side::Ask: {
return "Ask";
}
case Side::Bid: {
return "Bid";
}
case Side::None: {
return "None";
}
default: {
return "Unknown";
}
}
}
const char* ToString(Action action) {
switch (action) {
case Action::Modify: {
return "Modify";
}
case Action::Trade: {
return "Trade";
}
case Action::Fill: {
return "Fill";
}
case Action::Cancel: {
return "Cancel";
}
case Action::Add: {
return "Add";
}
case Action::Clear: {
return "Clear";
}
case Action::None: {
return "None";
}
default: {
return "Unknown";
}
}
}
const char* ToString(InstrumentClass instrument_class) {
switch (instrument_class) {
case InstrumentClass::Bond: {
return "Bond";
}
case InstrumentClass::Call: {
return "Call";
}
case InstrumentClass::Future: {
return "Future";
}
case InstrumentClass::Index: {
return "Index";
}
case InstrumentClass::Stock: {
return "Stock";
}
case InstrumentClass::MixedSpread: {
return "MixedSpread";
}
case InstrumentClass::Put: {
return "Put";
}
case InstrumentClass::FutureSpread: {
return "FutureSpread";
}
case InstrumentClass::OptionSpread: {
return "OptionSpread";
}
case InstrumentClass::FxSpot: {
return "FxSpot";
}
case InstrumentClass::CommoditySpot: {
return "CommoditySpot";
}
default: {
return "Unknown";
}
}
}
const char* ToString(MatchAlgorithm match_algorithm) {
switch (match_algorithm) {
case MatchAlgorithm::Undefined: {
return "Undefined";
}
case MatchAlgorithm::Fifo: {
return "Fifo";
}
case MatchAlgorithm::Configurable: {
return "Configurable";
}
case MatchAlgorithm::ProRata: {
return "ProRata";
}
case MatchAlgorithm::FifoLmm: {
return "FifoLmm";
}
case MatchAlgorithm::ThresholdProRata: {
return "ThresholdProRata";
}
case MatchAlgorithm::FifoTopLmm: {
return "FifoTopLmm";
}
case MatchAlgorithm::ThresholdProRataLmm: {
return "ThresholdProRataLmm";
}
case MatchAlgorithm::EurodollarFutures: {
return "EurodollarFutures";
}
case MatchAlgorithm::TimeProRata: {
return "TimeProRata";
}
case MatchAlgorithm::InstitutionalPrioritization: {
return "InstitutionalPrioritization";
}
case MatchAlgorithm::Allocation: {
return "Allocation";
}
default: {
return "Unknown";
}
}
}
const char* ToString(UserDefinedInstrument user_defined_instrument) {
switch (user_defined_instrument) {
case UserDefinedInstrument::No: {
return "No";
}
case UserDefinedInstrument::Yes: {
return "Yes";
}
default: {
return "Unknown";
}
}
}
const char* ToString(SecurityUpdateAction security_update_action) {
switch (security_update_action) {
case SecurityUpdateAction::Add: {
return "Add";
}
case SecurityUpdateAction::Modify: {
return "Modify";
}
case SecurityUpdateAction::Delete: {
return "Delete";
}
default: {
return "Unknown";
}
}
}
const char* ToString(SType s_type) {
switch (s_type) {
case SType::InstrumentId: {
return "instrument_id";
}
case SType::RawSymbol: {
return "raw_symbol";
}
case SType::Continuous: {
return "continuous";
}
case SType::Parent: {
return "parent";
}
case SType::NasdaqSymbol: {
return "nasdaq_symbol";
}
case SType::CmsSymbol: {
return "cms_symbol";
}
case SType::Isin: {
return "isin";
}
case SType::UsCode: {
return "us_code";
}
case SType::BbgCompId: {
return "bbg_comp_id";
}
case SType::BbgCompTicker: {
return "bbg_comp_ticker";
}
case SType::Figi: {
return "figi";
}
case SType::FigiTicker: {
return "figi_ticker";
}
case SType::ListingId: {
return "listing_id";
}
case SType::IssuerId: {
return "issuer_id";
}
case SType::SecurityId: {
return "security_id";
}
default: {
return "Unknown";
}
}
}
const char* ToString(Schema schema) {
switch (schema) {
case Schema::Mbo: {
return "mbo";
}
case Schema::Mbp1: {
return "mbp-1";
}
case Schema::Mbp10: {
return "mbp-10";
}
case Schema::Tbbo: {
return "tbbo";
}
case Schema::Trades: {
return "trades";
}
case Schema::Ohlcv1S: {
return "ohlcv-1s";
}
case Schema::Ohlcv1M: {
return "ohlcv-1m";
}
case Schema::Ohlcv1H: {
return "ohlcv-1h";
}
case Schema::Ohlcv1D: {
return "ohlcv-1d";
}
case Schema::Definition: {
return "definition";
}
case Schema::Statistics: {
return "statistics";
}
case Schema::Status: {
return "status";
}
case Schema::Imbalance: {
return "imbalance";
}
case Schema::OhlcvEod: {
return "ohlcv-eod";
}
case Schema::Cmbp1: {
return "cmbp-1";
}
case Schema::Cbbo1S: {
return "cbbo-1s";
}
case Schema::Cbbo1M: {
return "cbbo-1m";
}
case Schema::Tcbbo: {
return "tcbbo";
}
case Schema::Bbo1S: {
return "bbo-1s";
}
case Schema::Bbo1M: {
return "bbo-1m";
}
default: {
return "Unknown";
}
}
}
const char* ToString(Encoding encoding) {
switch (encoding) {
case Encoding::Dbn: {
return "dbn";
}
case Encoding::Csv: {
return "csv";
}
case Encoding::Json: {
return "json";
}
default: {
return "Unknown";
}
}
}
const char* ToString(Compression compression) {
switch (compression) {
case Compression::None: {
return "none";
}
case Compression::Zstd: {
return "zstd";
}
default: {
return "Unknown";
}
}
}
const char* ToString(StatType stat_type) {
switch (stat_type) {
case StatType::OpeningPrice: {
return "OpeningPrice";
}
case StatType::IndicativeOpeningPrice: {
return "IndicativeOpeningPrice";
}
case StatType::SettlementPrice: {
return "SettlementPrice";
}
case StatType::TradingSessionLowPrice: {
return "TradingSessionLowPrice";
}
case StatType::TradingSessionHighPrice: {
return "TradingSessionHighPrice";
}
case StatType::ClearedVolume: {
return "ClearedVolume";
}
case StatType::LowestOffer: {
return "LowestOffer";
}
case StatType::HighestBid: {
return "HighestBid";
}
case StatType::OpenInterest: {
return "OpenInterest";
}
case StatType::FixingPrice: {
return "FixingPrice";
}
case StatType::ClosePrice: {
return "ClosePrice";
}
case StatType::NetChange: {
return "NetChange";
}
case StatType::Vwap: {
return "Vwap";
}
case StatType::Volatility: {
return "Volatility";
}
case StatType::Delta: {
return "Delta";
}
case StatType::UncrossingPrice: {
return "UncrossingPrice";
}
case StatType::UpperPriceLimit: {
return "UpperPriceLimit";
}
case StatType::LowerPriceLimit: {
return "LowerPriceLimit";
}
case StatType::BlockVolume: {
return "BlockVolume";
}
case StatType::IndicativeClosePrice: {
return "IndicativeClosePrice";
}
case StatType::MwcbLevel1: {
return "MwcbLevel1";
}
case StatType::MwcbLevel2: {
return "MwcbLevel2";
}
case StatType::MwcbLevel3: {
return "MwcbLevel3";
}
case StatType::AuctionCollarReferencePrice: {
return "AuctionCollarReferencePrice";
}
case StatType::AuctionCollarUpperPrice: {
return "AuctionCollarUpperPrice";
}
case StatType::AuctionCollarLowerPrice: {
return "AuctionCollarLowerPrice";
}
case StatType::VenueSpecificVolume1: {
return "VenueSpecificVolume1";
}
case StatType::VenueSpecificPrice1: {
return "VenueSpecificPrice1";
}
default: {
return "Unknown";
}
}
}
const char* ToString(StatUpdateAction stat_update_action) {
switch (stat_update_action) {
case StatUpdateAction::New: {
return "New";
}
case StatUpdateAction::Delete: {
return "Delete";
}
default: {
return "Unknown";
}
}
}
const char* ToString(StatusAction status_action) {
switch (status_action) {
case StatusAction::None: {
return "None";
}
case StatusAction::PreOpen: {
return "PreOpen";
}
case StatusAction::PreCross: {
return "PreCross";
}
case StatusAction::Quoting: {
return "Quoting";
}
case StatusAction::Cross: {
return "Cross";
}
case StatusAction::Rotation: {
return "Rotation";
}
case StatusAction::NewPriceIndication: {
return "NewPriceIndication";
}
case StatusAction::Trading: {
return "Trading";
}
case StatusAction::Halt: {
return "Halt";
}
case StatusAction::Pause: {
return "Pause";
}
case StatusAction::Suspend: {
return "Suspend";
}
case StatusAction::PreClose: {
return "PreClose";
}
case StatusAction::Close: {
return "Close";
}
case StatusAction::PostClose: {
return "PostClose";
}
case StatusAction::SsrChange: {
return "SsrChange";
}
case StatusAction::NotAvailableForTrading: {
return "NotAvailableForTrading";
}
default: {
return "Unknown";
}
}
}
const char* ToString(StatusReason status_reason) {
switch (status_reason) {
case StatusReason::None: {
return "None";
}
case StatusReason::Scheduled: {
return "Scheduled";
}
case StatusReason::SurveillanceIntervention: {
return "SurveillanceIntervention";
}
case StatusReason::MarketEvent: {
return "MarketEvent";
}
case StatusReason::InstrumentActivation: {
return "InstrumentActivation";
}
case StatusReason::InstrumentExpiration: {
return "InstrumentExpiration";
}
case StatusReason::RecoveryInProcess: {
return "RecoveryInProcess";
}
case StatusReason::Regulatory: {
return "Regulatory";
}
case StatusReason::Administrative: {
return "Administrative";
}
case StatusReason::NonCompliance: {
return "NonCompliance";
}
case StatusReason::FilingsNotCurrent: {
return "FilingsNotCurrent";
}
case StatusReason::SecTradingSuspension: {
return "SecTradingSuspension";
}
case StatusReason::NewIssue: {
return "NewIssue";
}
case StatusReason::IssueAvailable: {
return "IssueAvailable";
}
case StatusReason::IssuesReviewed: {
return "IssuesReviewed";
}
case StatusReason::FilingReqsSatisfied: {
return "FilingReqsSatisfied";
}
case StatusReason::NewsPending: {
return "NewsPending";
}
case StatusReason::NewsReleased: {
return "NewsReleased";
}
case StatusReason::NewsAndResumptionTimes: {
return "NewsAndResumptionTimes";
}
case StatusReason::NewsNotForthcoming: {
return "NewsNotForthcoming";
}
case StatusReason::OrderImbalance: {
return "OrderImbalance";
}
case StatusReason::LuldPause: {
return "LuldPause";
}
case StatusReason::Operational: {
return "Operational";
}
case StatusReason::AdditionalInformationRequested: {
return "AdditionalInformationRequested";
}
case StatusReason::MergerEffective: {
return "MergerEffective";
}
case StatusReason::Etf: {
return "Etf";
}
case StatusReason::CorporateAction: {
return "CorporateAction";
}
case StatusReason::NewSecurityOffering: {
return "NewSecurityOffering";
}
case StatusReason::MarketWideHaltLevel1: {
return "MarketWideHaltLevel1";
}
case StatusReason::MarketWideHaltLevel2: {
return "MarketWideHaltLevel2";
}
case StatusReason::MarketWideHaltLevel3: {
return "MarketWideHaltLevel3";
}
case StatusReason::MarketWideHaltCarryover: {
return "MarketWideHaltCarryover";
}
case StatusReason::MarketWideHaltResumption: {
return "MarketWideHaltResumption";
}
case StatusReason::QuotationNotAvailable: {
return "QuotationNotAvailable";
}
default: {
return "Unknown";
}
}
}
const char* ToString(TradingEvent trading_event) {
switch (trading_event) {
case TradingEvent::None: {
return "None";
}
case TradingEvent::NoCancel: {
return "NoCancel";
}
case TradingEvent::ChangeTradingSession: {
return "ChangeTradingSession";
}
case TradingEvent::ImpliedMatchingOn: {
return "ImpliedMatchingOn";
}
case TradingEvent::ImpliedMatchingOff: {
return "ImpliedMatchingOff";
}
default: {
return "Unknown";
}
}
}
const char* ToString(TriState tri_state) {
switch (tri_state) {
case TriState::NotAvailable: {
return "NotAvailable";
}
case TriState::No: {
return "No";
}
case TriState::Yes: {
return "Yes";
}
default: {
return "Unknown";
}
}
}
const char* ToString(VersionUpgradePolicy version_upgrade_policy) {
switch (version_upgrade_policy) {
case VersionUpgradePolicy::AsIs: {
return "AsIs";
}
case VersionUpgradePolicy::UpgradeToV2: {
return "UpgradeToV2";
}
case VersionUpgradePolicy::UpgradeToV3: {
return "UpgradeToV3";
}
default: {
return "Unknown";
}
}
}
const char* ToString(ErrorCode error_code) {
switch (error_code) {
case ErrorCode::AuthFailed: {
return "auth_failed";
}
case ErrorCode::ApiKeyDeactivated: {
return "api_key_deactivated";
}
case ErrorCode::ConnectionLimitExceeded: {
return "connection_limit_exceeded";
}
case ErrorCode::SymbolResolutionFailed: {
return "symbol_resolution_failed";
}
case ErrorCode::InvalidSubscription: {
return "invalid_subscription";
}
case ErrorCode::InternalError: {
return "internal_error";
}
case ErrorCode::SkippedRecordsAfterSlowReading: {
return "skipped_records_after_slow_reading";
}
case ErrorCode::ReplayDataAgedOut: {
return "replay_data_aged_out";
}
case ErrorCode::Unset: {
return "unset";
}
default: {
return "Unknown";
}
}
}
const char* ToString(SystemCode system_code) {
switch (system_code) {
case SystemCode::Heartbeat: {
return "heartbeat";
}
case SystemCode::SubscriptionAck: {
return "subscription_ack";
}
case SystemCode::SlowReaderWarning: {
return "slow_reader_warning";
}
case SystemCode::ReplayCompleted: {
return "replay_completed";
}
case SystemCode::EndOfInterval: {
return "end_of_interval";
}
case SystemCode::UnsubscribeAck: {
return "unsubscribe_ack";
}
case SystemCode::Unset: {
return "unset";
}
default: {
return "Unknown";
}
}
}
std::ostream& operator<<(std::ostream& out, FeedMode mode) {
out << ToString(mode);
return out;
}
std::ostream& operator<<(std::ostream& out, SplitDuration duration_interval) {
out << ToString(duration_interval);
return out;
}
std::ostream& operator<<(std::ostream& out, Delivery delivery) {
out << ToString(delivery);
return out;
}
std::ostream& operator<<(std::ostream& out, JobState state) {
out << ToString(state);
return out;
}
std::ostream& operator<<(std::ostream& out, DatasetCondition condition) {
out << ToString(condition);
return out;
}
std::ostream& operator<<(std::ostream& out, SlowReaderBehavior slow_reader_behavior) {
out << ToString(slow_reader_behavior);
return out;
}
std::ostream& operator<<(std::ostream& out, RType r_type) {
out << ToString(r_type);
return out;
}
std::ostream& operator<<(std::ostream& out, Side side) {
out << ToString(side);
return out;
}
std::ostream& operator<<(std::ostream& out, Action action) {
out << ToString(action);
return out;
}
std::ostream& operator<<(std::ostream& out, InstrumentClass instrument_class) {
out << ToString(instrument_class);
return out;
}
std::ostream& operator<<(std::ostream& out, MatchAlgorithm match_algorithm) {
out << ToString(match_algorithm);
return out;
}
std::ostream& operator<<(std::ostream& out,
UserDefinedInstrument user_defined_instrument) {
out << ToString(user_defined_instrument);
return out;
}
std::ostream& operator<<(std::ostream& out,
SecurityUpdateAction security_update_action) {
out << ToString(security_update_action);
return out;
}
std::ostream& operator<<(std::ostream& out, SType s_type) {
out << ToString(s_type);
return out;
}
std::ostream& operator<<(std::ostream& out, Schema schema) {
out << ToString(schema);
return out;
}
std::ostream& operator<<(std::ostream& out, Encoding encoding) {
out << ToString(encoding);
return out;
}
std::ostream& operator<<(std::ostream& out, Compression compression) {
out << ToString(compression);
return out;
}
std::ostream& operator<<(std::ostream& out, StatType stat_type) {
out << ToString(stat_type);
return out;
}
std::ostream& operator<<(std::ostream& out, StatUpdateAction stat_update_action) {
out << ToString(stat_update_action);
return out;
}
std::ostream& operator<<(std::ostream& out, StatusAction status_action) {
out << ToString(status_action);
return out;
}
std::ostream& operator<<(std::ostream& out, StatusReason status_reason) {
out << ToString(status_reason);
return out;
}
std::ostream& operator<<(std::ostream& out, TradingEvent trading_event) {
out << ToString(trading_event);
return out;
}
std::ostream& operator<<(std::ostream& out, TriState tri_state) {
out << ToString(tri_state);
return out;
}
std::ostream& operator<<(std::ostream& out,
VersionUpgradePolicy version_upgrade_policy) {
out << ToString(version_upgrade_policy);
return out;
}
std::ostream& operator<<(std::ostream& out, ErrorCode error_code) {
out << ToString(error_code);
return out;
}
std::ostream& operator<<(std::ostream& out, SystemCode system_code) {
out << ToString(system_code);