Struct DatabentoDataLoader 

pub struct DatabentoDataLoader { /* private fields */ }

A Nautilus data loader for Databento Binary Encoding (DBN) format data.

Supported schemas:

• MBO -> OrderBookDelta
• MBP_1 -> (QuoteTick, Option<TradeTick>)
• MBP_10 -> OrderBookDepth10
• BBO_1S -> QuoteTick
• BBO_1M -> QuoteTick
• CMBP_1 -> (QuoteTick, Option<TradeTick>)
• CBBO_1S -> QuoteTick
• CBBO_1M -> QuoteTick
• TCBBO -> (QuoteTick, TradeTick)
• TBBO -> (QuoteTick, TradeTick)
• TRADES -> TradeTick
• OHLCV_1S -> Bar
• OHLCV_1M -> Bar
• OHLCV_1H -> Bar
• OHLCV_1D -> Bar
• OHLCV_EOD -> Bar
• DEFINITION -> Instrument
• IMBALANCE -> DatabentoImbalance
• STATISTICS -> DatabentoStatistics
• STATUS -> InstrumentStatus

References

https://databento.com/docs/schemas-and-data-formats

Implementations

impl DatabentoDataLoader

pub fn new(publishers_filepath: Option<PathBuf>) -> Result<Self>

Creates a new DatabentoDataLoader instance.

Errors

Returns an error if locating or loading publishers data fails.

pub fn load_publishers(&mut self, filepath: PathBuf) -> Result<()>

Load the publishers data from the file at the given filepath.

Errors

Returns an error if the file cannot be read or parsed as JSON.

pub const fn get_publishers(&self) -> &IndexMap<u16, DatabentoPublisher>

Returns the internal Databento publishers currently held by the loader.

pub fn set_dataset_for_venue(&mut self, dataset: Dataset, venue: Venue)

Sets the venue to map to the given dataset.

pub fn get_dataset_for_venue(&self, venue: &Venue) -> Option<&Dataset>

Returns the dataset which matches the given venue (if found).

pub fn get_venue_for_publisher( &self, publisher_id: PublisherId, ) -> Option<&Venue>

Returns the venue which matches the given publisher_id (if found).

pub fn schema_from_file(&self, filepath: &Path) -> Result<Option<String>>

Returns the schema for the given filepath.

Errors

Returns an error if the file cannot be decoded or metadata retrieval fails.

pub fn read_definition_records( &mut self, filepath: &Path, use_exchange_as_venue: bool, ) -> Result<impl Iterator<Item = Result<InstrumentAny>> + '_>

Reads instrument definition records from a DBN file.

Errors

Returns an error if decoding the definition records fails.

pub fn read_records<T>( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, include_trades: bool, bars_timestamp_on_close: Option<bool>, ) -> Result<impl Iterator<Item = Result<(Option<Data>, Option<Data>)>> + '_>

where T: Record + HasRType + 'static,

Reads and decodes market data records from a DBN file.

Errors

Returns an error if reading records fails.

pub fn load_instruments( &mut self, filepath: &Path, use_exchange_as_venue: bool, ) -> Result<Vec<InstrumentAny>>

Loads all instrument definitions from a DBN file.

Errors

Returns an error if loading instruments fails.

pub fn load_order_book_deltas( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<OrderBookDelta>>

Loads order book delta messages from a DBN MBO schema file.

Cannot include trades.

Errors

Returns an error if loading order book deltas fails.

pub fn load_order_book_depth10( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<OrderBookDepth10>>

Loads order book depth10 snapshots from a DBN MBP-10 schema file.

Errors

Returns an error if loading order book depth10 fails.

pub fn load_quotes( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<QuoteTick>>

Loads quote tick messages from a DBN MBP-1 or TBBO schema file.

Errors

Returns an error if loading quotes fails.

pub fn load_bbo_quotes( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<QuoteTick>>

Loads best bid/offer quote messages from a DBN BBO schema file.

Errors

Returns an error if loading BBO quotes fails.

pub fn load_cmbp_quotes( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<QuoteTick>>

Loads consolidated MBP-1 quote messages from a DBN CMBP-1 schema file.

Errors

Returns an error if loading consolidated MBP-1 quotes fails.

pub fn load_cbbo_quotes( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<QuoteTick>>

Loads consolidated best bid/offer quote messages from a DBN CBBO schema file.

Errors

Returns an error if loading consolidated BBO quotes fails.

pub fn load_tbbo_trades( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<TradeTick>>

Loads trade messages from a DBN TBBO schema file.

Errors

Returns an error if loading TBBO trades fails.

pub fn load_tcbbo_trades( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<TradeTick>>

Loads trade messages from a DBN TCBBO schema file.

Errors

Returns an error if loading TCBBO trades fails.

pub fn load_trades( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<Vec<TradeTick>>

Loads trade messages from a DBN TRADES schema file.

Errors

Returns an error if loading trades fails.

pub fn load_bars( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, timestamp_on_close: Option<bool>, ) -> Result<Vec<Bar>>

Loads OHLCV bar messages from a DBN OHLCV schema file.

Errors

Returns an error if loading bars fails.

pub fn load_status_records<T>( &self, filepath: &Path, instrument_id: Option<InstrumentId>, ) -> Result<impl Iterator<Item = Result<InstrumentStatus>> + '_>

where T: Record + HasRType + 'static,

Loads instrument status messages from a DBN STATUS schema file.

Errors

Returns an error if loading status records fails.

pub fn read_imbalance_records<T>( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<impl Iterator<Item = Result<DatabentoImbalance>> + '_>

where T: Record + HasRType + 'static,

Reads imbalance messages from a DBN IMBALANCE schema file.

Errors

Returns an error if reading imbalance records fails.

pub fn read_statistics_records<T>( &self, filepath: &Path, instrument_id: Option<InstrumentId>, price_precision: Option<u8>, ) -> Result<impl Iterator<Item = Result<DatabentoStatistics>> + '_>

where T: Record + HasRType + 'static,

Reads statistics messages from a DBN STATISTICS schema file.

Errors

Returns an error if reading statistics records fails.

Trait Implementations

impl Debug for DatabentoDataLoader

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'py> IntoPyObject<'py> for DatabentoDataLoader

type Target = DatabentoDataLoader

The Python output type

type Output = Bound<'py, <DatabentoDataLoader as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PyClass for DatabentoDataLoader

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for DatabentoDataLoader

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

const RAW_DOC: &'static CStr = /// A Nautilus data loader for Databento Binary Encoding (DBN) format data. /// /// # Supported schemas: /// - `MBO` -> `OrderBookDelta` /// - `MBP_1` -> `(QuoteTick, Option<TradeTick>)` /// - `MBP_10` -> `OrderBookDepth10` /// - `BBO_1S` -> `QuoteTick` /// - `BBO_1M` -> `QuoteTick` /// - `CMBP_1` -> `(QuoteTick, Option<TradeTick>)` /// - `CBBO_1S` -> `QuoteTick` /// - `CBBO_1M` -> `QuoteTick` /// - `TCBBO` -> `(QuoteTick, TradeTick)` /// - `TBBO` -> `(QuoteTick, TradeTick)` /// - `TRADES` -> `TradeTick` /// - `OHLCV_1S` -> `Bar` /// - `OHLCV_1M` -> `Bar` /// - `OHLCV_1H` -> `Bar` /// - `OHLCV_1D` -> `Bar` /// - `OHLCV_EOD` -> `Bar` /// - `DEFINITION` -> `Instrument` /// - `IMBALANCE` -> `DatabentoImbalance` /// - `STATISTICS` -> `DatabentoStatistics` /// - `STATUS` -> `InstrumentStatus` /// /// # References /// /// <https://databento.com/docs/schemas-and-data-formats>

Docstring for the class provided on the struct or enum.

const DOC: &'static CStr

Fully rendered class doc, including the text_signature if a constructor is defined.

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<DatabentoDataLoader>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature for DatabentoDataLoader

const TEXT_SIGNATURE: &'static str = "(publishers_filepath=None)"

impl<'a, 'holder, 'py> PyFunctionArgument<'a, 'holder, 'py, false> for &'holder DatabentoDataLoader

type Holder = Option<PyClassGuard<'a, DatabentoDataLoader>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'holder mut Self::Holder, ) -> PyResult<Self>

impl<'a, 'holder, 'py> PyFunctionArgument<'a, 'holder, 'py, false> for &'holder mut DatabentoDataLoader

type Holder = Option<PyClassGuardMut<'a, DatabentoDataLoader>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'holder mut Self::Holder, ) -> PyResult<Self>

impl PyMethods<DatabentoDataLoader> for PyClassImplCollector<DatabentoDataLoader>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for DatabentoDataLoader

const NAME: &'static str = "DatabentoDataLoader"

Class name.

const MODULE: Option<&'static str>

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl DerefToPyAny for DatabentoDataLoader