Release 0.5.0

This version bumps the minor version to reflect breaking interface changes.

In particular, ReferenceData was changed significantly to better support more relevant fields for option products.

The big theme was to work through different use-cases using a couple of popular time-series databases. You can find useful queries in the linked tutorials.

A blog post will soon be added to demonstrate how to collect data and use Jupyter Notebook to fetch and display various time-series.

roq-clickhouse
  • Added order book view (top N levels) suitable for time-based queries
    • Dropped full order book using nested types
  • Added trade summary VWAP information
    • Dropped full trade list using nested types
  • Fixed stability issues relating to higher throughput in production
  • ClickHouse tutorial
roq-influxdb
  • Aligned with roq-clickhouse
  • Insert requests can now be retried if the server reports that it's busy
  • InfluxDB tutorial