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Databento integration #1491

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7 of 10 tasks
cjdsellers opened this issue Feb 5, 2024 · 1 comment
Open
7 of 10 tasks

Databento integration #1491

cjdsellers opened this issue Feb 5, 2024 · 1 comment
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@cjdsellers
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enhancement New feature or request

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@cjdsellers
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cjdsellers commented Feb 5, 2024 •
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Add an initial integration for Databento covering US equities, futures, options on futures and equity options.

  • Data loader for Databento Binary Encoding (DBN) files
  • Feeding backtest engines with decoded DBN -> Nautilus data
  • Writing from decoded DBN -> Nautilus Parquet format with the data catalog
  • Rust client library integration for historical requests & live data feeds

Still to go:

  • Write Databento integration guide
  • Improve the code and efficiency a little more (can always improve this)
  • Re-add support for MBP-10 (L2 order book data, top 10 levels aggregated snapshots)
  • Add support for imbalance and statistics schemas
  • Add support for continuous, parent and instrument_id symbology types
  • Test with more backtest and live examples
  • Fix continuous contract subscriptions
  • Add some more test coverage generally
  • Write how to setup a Databento data catalog guide
  • Write some per asset class examples
@cjdsellers cjdsellers added the enhancement New feature or request label Feb 5, 2024
@cjdsellers cjdsellers self-assigned this Feb 5, 2024
@wayneadams
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Up voting for priority planning 🙏

@cjdsellers cjdsellers moved this to In progress in NautilusTrader Kanban Board May 24, 2024
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@cjdsellers cjdsellers

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enhancement New feature or request
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NautilusTrader Kanban Board
Status: In progress
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@wayneadams @cjdsellers