databento_sandbox/
sandbox.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::env;
17
18use databento::{
19    LiveClient,
20    dbn::{Dataset::GlbxMdp3, MboMsg, SType, Schema, TradeMsg},
21    live::Subscription,
22};
23use nautilus_core::consts::NAUTILUS_USER_AGENT;
24use time::OffsetDateTime;
25
26#[tokio::main]
27async fn main() {
28    let mut client = LiveClient::builder()
29        .user_agent_extension(NAUTILUS_USER_AGENT.into())
30        .key(env::var("DATABENTO_API_KEY").unwrap())
31        .unwrap()
32        .dataset(GlbxMdp3)
33        .build()
34        .await
35        .unwrap();
36
37    client
38        .subscribe(
39            Subscription::builder()
40                .schema(Schema::Mbo)
41                .stype_in(SType::RawSymbol)
42                .symbols("ESM4")
43                .start(OffsetDateTime::from_unix_timestamp_nanos(0).unwrap())
44                .build(),
45        )
46        .await
47        .unwrap();
48
49    client.start().await.unwrap();
50
51    let mut count = 0;
52
53    while let Some(record) = client.next_record().await.unwrap() {
54        if let Some(msg) = record.get::<TradeMsg>() {
55            println!("{msg:#?}");
56        }
57        if let Some(msg) = record.get::<MboMsg>() {
58            println!(
59                "Received delta: {} {} flags={}",
60                count,
61                msg.hd.ts_event,
62                msg.flags.raw(),
63            );
64            count += 1;
65        }
66    }
67}
databento_sandbox/sandbox.rs

databento_sandbox/
sandbox.rs
