Refine Databento symbology inference

Author: cjdsellers

nautilus_core/adapters/databento/src/python/historical.rs

@@ -23,7 +23,7 @@ use std::{
 };
 
 use databento::{
-    dbn::{self, SType},
+    dbn::{self},
     historical::timeseries::GetRangeParams,
 };
 use indexmap::IndexMap;
@@ -155,7 +155,7 @@ impl DatabentoHistoricalClient {
             .dataset(dataset)
             .date_time_range(time_range)
             .symbols(symbols)
-            .stype_in(SType::from_str(&stype_in).map_err(to_pyvalue_err)?)
+            .stype_in(stype_in)
             .schema(dbn::Schema::Definition)
             .limit(limit.and_then(NonZeroU64::new))
             .build();
@@ -254,7 +254,7 @@ impl DatabentoHistoricalClient {
             .dataset(dataset)
             .date_time_range(time_range)
             .symbols(symbols)
-            .stype_in(SType::from_str(&stype_in).map_err(to_pyvalue_err)?)
+            .stype_in(stype_in)
             .schema(dbn_schema)
             .limit(limit.and_then(NonZeroU64::new))
             .build();
@@ -356,7 +356,7 @@ impl DatabentoHistoricalClient {
             .dataset(dataset)
             .date_time_range(time_range)
             .symbols(symbols)
-            .stype_in(SType::from_str(&stype_in).map_err(to_pyvalue_err)?)
+            .stype_in(stype_in)
             .schema(dbn::Schema::Trades)
             .limit(limit.and_then(NonZeroU64::new))
             .build();
@@ -447,7 +447,7 @@ impl DatabentoHistoricalClient {
             .dataset(dataset)
             .date_time_range(time_range)
             .symbols(symbols)
-            .stype_in(SType::from_str(&stype_in).map_err(to_pyvalue_err)?)
+            .stype_in(stype_in)
             .schema(schema)
             .limit(limit.and_then(NonZeroU64::new))
             .build();
@@ -530,7 +530,7 @@ impl DatabentoHistoricalClient {
             .dataset(dataset)
             .date_time_range(time_range)
             .symbols(symbols)
-            .stype_in(SType::from_str(&stype_in).map_err(to_pyvalue_err)?)
+            .stype_in(stype_in)
             .schema(dbn::Schema::Imbalance)
             .limit(limit.and_then(NonZeroU64::new))
             .build();
@@ -602,7 +602,7 @@ impl DatabentoHistoricalClient {
             .dataset(dataset)
             .date_time_range(time_range)
             .symbols(symbols)
-            .stype_in(SType::from_str(&stype_in).map_err(to_pyvalue_err)?)
+            .stype_in(stype_in)
             .schema(dbn::Schema::Statistics)
             .limit(limit.and_then(NonZeroU64::new))
             .build();
@@ -674,7 +674,7 @@ impl DatabentoHistoricalClient {
             .dataset(dataset)
             .date_time_range(time_range)
             .symbols(symbols)
-            .stype_in(SType::from_str(&stype_in).map_err(to_pyvalue_err)?)
+            .stype_in(stype_in)
             .schema(dbn::Schema::Status)
             .limit(limit.and_then(NonZeroU64::new))
             .build();

nautilus_core/adapters/databento/src/python/live.rs

@@ -186,7 +186,7 @@ impl DatabentoLiveClient {
         let mut sub = Subscription::builder()
             .symbols(symbols)
             .schema(dbn::Schema::from_str(&schema).map_err(to_pyvalue_err)?)
-            .stype_in(dbn::SType::from_str(&stype_in).map_err(to_pyvalue_err)?)
+            .stype_in(stype_in)
             .build();
 
         if let Some(start) = start {

nautilus_core/adapters/databento/src/symbology.rs

@@ -15,7 +15,7 @@
 
 use std::collections::HashMap;
 
-use databento::dbn;
+use databento::dbn::{self, SType};
 use dbn::{Publisher, Record};
 use indexmap::IndexMap;
 use nautilus_core::correctness::check_slice_not_empty;
@@ -110,21 +110,21 @@ pub fn get_nautilus_instrument_id_for_record(
 }
 
 #[must_use]
-pub fn infer_symbology_type(symbol: &str) -> String {
+pub fn infer_symbology_type(symbol: &str) -> SType {
     if symbol.ends_with(".FUT") || symbol.ends_with(".OPT") {
-        return "parent".to_string();
+        return SType::Parent;
     }
 
     let parts: Vec<&str> = symbol.split('.').collect();
     if parts.len() == 3 && parts[2].chars().all(|c| c.is_ascii_digit()) {
-        return "continuous".to_string();
+        return SType::Continuous;
     }
 
     if symbol.chars().all(|c| c.is_ascii_digit()) {
-        return "instrument_id".to_string();
+        return SType::InstrumentId;
     }
 
-    "raw_symbol".to_string()
+    SType::RawSymbol
 }
 
 pub fn check_consistent_symbology(symbols: &[&str]) -> anyhow::Result<()> {
@@ -173,7 +173,7 @@ mod tests {
     #[case("SPX.OPT", "parent")]
     #[case("ES.c.0", "continuous")]
     #[case("SPX.n.0", "continuous")]
-    fn test_infer_symbology_type(#[case] symbol: String, #[case] expected: String) {
+    fn test_infer_symbology_type(#[case] symbol: String, #[case] expected: SType) {
         let result = infer_symbology_type(&symbol);
         assert_eq!(result, expected);
     }