Fix records_to_dataframe FieldError on MBP-1/MBP-10/BBO (issue #40)#41
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mbp1_to_dataframe and mbp10_to_dataframe read flat bid_px_00… fields that
don't exist on the record structs — the bid/ask data lives in the nested
levels::BidAskPair (MBP-1 and the consolidated/BBO family) or
levels::NTuple{10,BidAskPair} (MBP-10). records_to_dataframe (and thus
to_dataframe and dbn_to_parquet) therefore threw FieldError on TBBO/MBP-1 and
MBP-10.
- mbp1_to_dataframe now reads through `levels`; its signature is widened to the
shared top-of-book layout so it also serves CMBP1Msg/TCBBOMsg/CBBO*/BBO*,
which previously fell through to the generic mixed-record path.
- mbp10_to_dataframe indexes the levels tuple instead of nonexistent flat
fields.
- records_to_dataframe dispatches the whole top-of-book family to one converter.
Adds test/test_issue40_mbp_dataframe.jl covering MBP-1, MBP-10 (10-level
expansion), and each consolidated/BBO type.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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Fixes #40.
Problem
records_to_dataframe(and thereforeto_dataframeanddbn_to_parquet) throwsFieldErrorfor TBBO / MBP-1 and MBP-10. The converters read flatbid_px_00…,ask_px_00…fields that don't exist on the record structs — the bid/ask data lives in the nestedlevels:MBP1Msg(andCMBP1Msg,TCBBOMsg,CBBO1sMsg,CBBO1mMsg,BBO1sMsg,BBO1mMsg):levels::BidAskPairMBP10Msg:levels::NTuple{10,BidAskPair}Fix
mbp1_to_dataframereads throughr.levels.bid_px/.ask_px/.bid_sz/ …. Its signature is widened toVector{<:TopOfBookMsg}(a new union alias) since the consolidated/BBO family share the exact MBP-1 layout — they previously fell through tomixed_records_to_dataframeand produced no bid/ask columns.mbp10_to_dataframeiterates/indexes thelevelstuple instead of nonexistent flat fields.records_to_dataframeroutes the whole top-of-book family to the one converter.No change to the OHLCV / trades / MBO paths.
Tests
New
test/test_issue40_mbp_dataframe.jl(31 assertions): MBP-1 reads throughlevels; MBP-10 expands to 10 level-indexed rows with correct per-level values; and each ofTCBBOMsg/CMBP1Msg/CBBO1sMsg/CBBO1mMsg/BBO1sMsg/BBO1mMsgnow yields abid_pricecolumn. Full suite green locally (3728 pass).Note
This targets the same upcoming 0.1.4 release as #38 (symbol resolution); both should land before registering 0.1.4. The version bump lives in #38.
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