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nautechsystems / nautilus_trader

A high-performance algorithmic trading platform and event-driven backtester

Home Page:https://nautilustrader.io

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Databento integration

cjdsellers opened this issue · comments

commented

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
  • Add some more test coverage generally
  • Write how to setup a Databento data catalog guide
  • Write some per asset class examples
commented

Up voting for priority planning 🙏