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‎.github/ISSUE_TEMPLATE/bug_report.md‎

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---
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name: Bug Report
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about: Report a bug or unexpected behavior
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title: "[BUG] "
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labels: bug
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assignees: ""
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---
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## Description
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A clear and concise description of the bug.
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## Environment
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- **thetadatadx version**: (e.g., 0.1.0)
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- **OS**: (e.g., Ubuntu 24.04, macOS 15)
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- **Rust version**: (output of `rustc --version`)
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- **SDK** (if applicable): Python / Go / C++
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- **ThetaData terminal version** (if applicable):
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- **ThetaData subscription tier** (if applicable): Free / Value / Standard / Pro
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## Endpoint / Method Affected
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Which API endpoint or client method is involved? (e.g., `DirectClient::get_quotes`, `FpssClient::subscribe`)
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## Steps to Reproduce
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1. ...
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2. ...
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3. ...
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## Expected Behavior
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What you expected to happen.
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## Actual Behavior
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What actually happened. Include error messages, stack traces, or logs if available.
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## Minimal Reproduction
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```rust
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// Minimal code to reproduce the issue, if possible
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```
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## Additional Context
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Any other context, screenshots, or packet captures that might help.

‎.github/ISSUE_TEMPLATE/feature_request.md‎

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---
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name: Feature Request
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about: Suggest a new feature or improvement
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title: "[FEATURE] "
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labels: enhancement
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assignees: ""
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---
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## Summary
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A clear and concise description of the feature you'd like.
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## Motivation
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Why is this feature needed? What problem does it solve?
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## Proposed Solution
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Describe how you'd like this to work. Include API sketches if relevant:
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```rust
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// Example API surface
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```
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## Alternatives Considered
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Any alternative solutions or workarounds you've considered.
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## Additional Context
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Any other context, references, or screenshots about the feature request.
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- Related ThetaData documentation:
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- Related issues:

‎.github/PULL_REQUEST_TEMPLATE.md‎

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## Summary
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Brief description of what this PR does and why.
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## Changes
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- ...
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## Checklist
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- [ ] `cargo fmt --all -- --check` passes
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- [ ] `cargo clippy --workspace -- -D warnings` passes
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- [ ] `cargo test --workspace` passes
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- [ ] Updated `CHANGELOG.md` (if user-facing change)
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- [ ] Updated documentation (if public API changed)
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- [ ] FFI/SDK bindings updated (if core API changed)
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## Testing
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How was this tested? Include relevant test commands or scenarios.
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## Related Issues
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Closes #

‎.github/workflows/ci.yml‎

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name: CI
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on:
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push:
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branches: [main]
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tags: ["v*"]
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pull_request:
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branches: [main]
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env:
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CARGO_TERM_COLOR: always
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jobs:
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check:
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name: Format & Lint
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runs-on: ubuntu-latest
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steps:
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- uses: actions/checkout@v4
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- uses: dtolnay/rust-toolchain@stable
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with:
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components: rustfmt, clippy
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- uses: Swatinem/rust-cache@v2
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- uses: arduino/setup-protoc@v3
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with:
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repo-token: ${{ secrets.GITHUB_TOKEN }}
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- run: cargo fmt --all -- --check
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- run: cargo clippy --workspace -- -D warnings
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test:
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name: Test
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runs-on: ubuntu-latest
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needs: check
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steps:
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- uses: actions/checkout@v4
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- uses: dtolnay/rust-toolchain@stable
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- uses: Swatinem/rust-cache@v2
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- uses: arduino/setup-protoc@v3
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with:
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repo-token: ${{ secrets.GITHUB_TOKEN }}
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- run: cargo test --workspace
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build-ffi:
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name: Build FFI
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runs-on: ubuntu-latest
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needs: check
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steps:
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- uses: actions/checkout@v4
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- uses: dtolnay/rust-toolchain@stable
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- uses: Swatinem/rust-cache@v2
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- uses: arduino/setup-protoc@v3
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with:
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repo-token: ${{ secrets.GITHUB_TOKEN }}
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- run: cargo build --release -p thetadatadx-ffi
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- uses: actions/upload-artifact@v4
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with:
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name: ffi-linux-x86_64
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path: |
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target/release/libthetadatadx_ffi.so
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target/release/libthetadatadx_ffi.a
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publish-crate:
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name: Publish to crates.io
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runs-on: ubuntu-latest
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needs: [test, build-ffi]
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if: startsWith(github.ref, 'refs/tags/v')
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steps:
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- uses: actions/checkout@v4
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- uses: dtolnay/rust-toolchain@stable
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- uses: arduino/setup-protoc@v3
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with:
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repo-token: ${{ secrets.GITHUB_TOKEN }}
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- run: cargo publish -p thetadatadx --allow-dirty
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env:
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CARGO_REGISTRY_TOKEN: ${{ secrets.CARGO_REGISTRY_TOKEN }}
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release:
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name: GitHub Release
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runs-on: ubuntu-latest
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needs: [publish-crate, build-ffi]
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if: startsWith(github.ref, 'refs/tags/v')
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permissions:
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contents: write
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steps:
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- uses: actions/checkout@v4
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- uses: actions/download-artifact@v4
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with:
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name: ffi-linux-x86_64
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path: artifacts/
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- uses: softprops/action-gh-release@v2
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with:
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generate_release_notes: true
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files: |
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artifacts/libthetadatadx_ffi.so
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artifacts/libthetadatadx_ffi.a

‎.github/workflows/python.yml‎

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name: Python SDK
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on:
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push:
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tags: ["v*"]
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workflow_dispatch:
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jobs:
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build:
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name: Build wheels
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runs-on: ubuntu-latest
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steps:
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- uses: actions/checkout@v4
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- uses: dtolnay/rust-toolchain@stable
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- uses: actions/setup-python@v5
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with:
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python-version: "3.12"
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- uses: arduino/setup-protoc@v3
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with:
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repo-token: ${{ secrets.GITHUB_TOKEN }}
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- run: pip install maturin
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- run: maturin build --release -m sdks/python/Cargo.toml -o dist/
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env:
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PYO3_USE_ABI3_FORWARD_COMPATIBILITY: "1"
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- uses: actions/upload-artifact@v4
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with:
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name: python-wheels
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path: dist/*.whl
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publish:
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name: Publish to PyPI
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runs-on: ubuntu-latest
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needs: build
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if: startsWith(github.ref, 'refs/tags/v')
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steps:
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- uses: actions/download-artifact@v4
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with:
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name: python-wheels
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path: dist/
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- uses: pypa/gh-action-pypi-publish@release/v1
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with:
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password: ${{ secrets.PYPI_API_TOKEN }}

‎.gitignore‎

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/target
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**/target
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*.whl
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.venv/
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venv/
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*.so
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*.dylib
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*.dll
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*.a
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creds.txt
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config.toml
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config.properties
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__pycache__/
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*.pyc
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*.egg-info/
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dist/
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build/
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.env

‎CHANGELOG.md‎

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# Changelog
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All notable changes to this project will be documented in this file.
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The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
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and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
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## [Unreleased]
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See [TODO.md](TODO.md) for the production readiness checklist and performance roadmap.
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## [1.1.0] - 2026-03-26
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### Added
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- **All 61 endpoints** via declarative macro (was 19 hand-written) — covers every
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v3 gRPC RPC: stock, option, index, interest rate, calendar
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- **All 61 endpoints in every SDK** — Python, Go, C++, C FFI all match Rust core
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- **Zero-allocation FPSS path** — fully sync I/O thread + LMAX Disruptor ring buffer
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(`disruptor-rs` v4), no tokio in the streaming hot path
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- **Cache-line aligned tick types** — `#[repr(C, align(64))]` on TradeTick, QuoteTick, OhlcTick, EodTick
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- **Cached QueryInfo template** — no per-request String allocation
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- **Precomputed DataTable column indices** — O(1) per row, not O(headers)
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- **pow10 lookup tables** for Price comparison and conversion
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- **`#[inline]`** on all hot-path functions (FIT decode, Price ops, tick accessors)
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- **Reusable thread-local zstd decompressor** — no fresh allocation per chunk
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- **Criterion benchmarks** — fit_decode, price_to_f64, price_compare, all_greeks, fie_encode
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- **AdaptiveWaitStrategy** — 3-phase spin/yield/hint tuned for ~100us FPSS tick intervals
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### Verified
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- Authenticated against real Nexus API (session established)
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- Retrieved 25,341 stock symbols from MDDS
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- Retrieved 42 AAPL EOD ticks (Jan-Mar 2024) with correct OHLCV data
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- Retrieved 2,010 SPY option expirations
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- Retrieved 13,160 index symbols
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- Calendar endpoint returned valid data
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- `client_type = "rust-thetadatadx"` accepted by server
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## [1.0.1] - 2026-03-26
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### Changed
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- Renamed crate from `thetadx` to `thetadatadx` (crates.io + PyPI)
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- Renamed repository from `thetadx` to `ThetaDataDx`
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- Switched license to GPL-3.0-or-later
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- Added disclaimer, legal considerations, and EU interoperability section
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- README updated with GitHub callouts (NOTE, TIP, IMPORTANT, WARNING, CAUTION)
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- Fixed PyPI package description (was empty — added readme field to pyproject.toml)
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## [1.0.0] - 2026-03-26
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### Added
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- **DirectClient** for MDDS gRPC — all 60 gRPC RPCs exposed as 61 typed endpoint methods
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(stock/option/index/rate/calendar: list, history, snapshot, at-time, greeks) via
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declarative `define_endpoint!` macro
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- **FpssClient** for FPSS streaming — real-time quotes, trades, open interest, OHLC
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via TLS/TCP with heartbeat and manual reconnection
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- **Auth module** — Nexus API authentication (email/password → session UUID)
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- **FIT/FIE codec** — nibble-based tick compression/decompression (ported from Java)
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- **Greeks calculator** — full Black-Scholes: 22 Greeks + IV bisection solver with
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precomputed shared intermediates and edge-case guards (t=0, v=0)
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- **All tick types** — TradeTick, QuoteTick, OhlcTick, EodTick, OpenInterestTick,
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SnapshotTradeTick, TradeQuoteTick with fixed-point Price encoding
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- **80+ DataType enum codes** — quotes, trades, OHLC, all Greek orders, dividends,
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splits, fundamentals
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- **Proto definitions** — extracted via runtime FileDescriptor reflection from
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ThetaData Terminal v202603181 (endpoints.proto + v3_endpoints.proto)
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- **Runtime configuration** — `DirectConfig` with all JVM-equivalent tuning knobs
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- `contract_lookup(id)` on `FpssClient` for single-entry hot-path lookup
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- `FpssEvent::Error` variant for surfacing protocol parse failures
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- Date parameter validation on all `DirectClient` methods
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- `async-zstd` feature flag for optional streaming decompression
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- **Python SDK** (PyO3/maturin) — wraps the Rust crate, not a reimplementation
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- **Go SDK** — CGo FFI bindings over the C ABI layer
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- **C++ SDK** — RAII C++ wrapper over the C header
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- **C FFI crate** (`thetadatadx-ffi`) — stable `extern "C"` ABI for all SDKs
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- **Documentation** — architecture (Mermaid), API reference, reverse-engineering guide, JVM deviations
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- **CI/CD** — GitHub Actions (fmt, clippy, test, FFI build, crates.io publish, PyPI publish, GitHub Release)
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- **Project infrastructure** — CHANGELOG, CONTRIBUTING, SECURITY, CODE_OF_CONDUCT,
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clippy.toml, cliff.toml, rust-toolchain.toml, LICENSE (GPL-3.0-or-later)
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### Security
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- Credential `Debug` redaction — passwords never appear in debug output
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- `AuthRequest` does not derive `Debug` (prevents password in error traces)
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- Session UUID redaction — bearer tokens logged at `debug!` level only, first 8 chars
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- `assert!` on FPSS frame size limits — enforced in release builds
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- Unified TLS via rustls for all connections (MDDS gRPC + FPSS TCP + Nexus HTTP)
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- Timeouts on all network operations (auth 10s/5s, gRPC keepalive, FPSS connect, FPSS read 10s)
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- 7 credential/account errors treated as permanent disconnect (no futile reconnect loops)
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- Contract root length validated before wire serialization
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- FIT decoder uses i64 accumulator with i32 saturation (no silent overflow)
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- Price type range enforced with `assert!` in release builds
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[Unreleased]: https://github.com/userFRM/ThetaDataDx/compare/v1.1.0...HEAD
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[1.1.0]: https://github.com/userFRM/ThetaDataDx/compare/v1.0.1...v1.1.0
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[1.0.1]: https://github.com/userFRM/ThetaDataDx/compare/v1.0.0...v1.0.1
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[1.0.0]: https://github.com/userFRM/ThetaDataDx/releases/tag/v1.0.0

‎CODE_OF_CONDUCT.md‎

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# Code of Conduct
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This project follows the [Contributor Covenant](https://www.contributor-covenant.org/version/2/1/code_of_conduct/) (v2.1).
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## Summary
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We are committed to providing a welcoming and inclusive experience for everyone. We pledge to act and interact in ways that contribute to an open, diverse, and healthy community.
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Unacceptable behavior includes harassment, trolling, derogatory comments, personal attacks, and publishing private information without consent.
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## Enforcement
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Instances of unacceptable behavior may be reported by opening an issue or contacting the maintainers. All complaints will be reviewed and investigated promptly and fairly.
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## Scope
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This applies to all project spaces (issues, PRs, discussions, Discord) and when representing the project publicly.
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For the full text, see https://www.contributor-covenant.org/version/2/1/code_of_conduct/

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