Databento

NautilusTrader provides an adapter for integrating with the Databento API and Databento Binary Encoding (DBN) format data. As Databento is purely a market data provider, there is no execution client provided - although a sandbox environment with simulated execution could still be set up. It's also possible to match Databento data with Interactive Brokers execution, or to calculate traditional asset class signals for crypto trading.

The capabilities of this adapter include:

• Loading historical data from DBN files and decoding into Nautilus objects for backtesting or writing to the data catalog.
• Requesting historical data which is decoded to Nautilus objects to support live trading and backtesting.
• Subscribing to real-time data feeds which are decoded to Nautilus objects to support live trading and sandbox environments.

tip

Databento currently offers 125 USD in free data credits (historical data only) for new account sign-ups.

With careful requests, this is more than enough for testing and evaluation purposes. It's recommended you make use of the /metadata.get_cost endpoint.

Overview

The adapter implementation takes the databento-rs crate as a dependency, which is the official Rust client library provided by Databento.

info

There is no need for an optional extra installation of databento, as the core components of the adapter are compiled as static libraries and linked automatically during the build process.

The following adapter classes are available:

• DatabentoDataLoader: Loads Databento Binary Encoding (DBN) data from files.
• DatabentoInstrumentProvider: Integrates with the Databento API (HTTP) to provide latest or historical instrument definitions.
• DatabentoHistoricalClient: Integrates with the Databento API (HTTP) for historical market data requests.
• DatabentoLiveClient: Integrates with the Databento API (raw TCP) for subscribing to real-time data feeds.
• DatabentoDataClient: Provides a LiveMarketDataClient implementation for running a trading node in real time.

info

As with the other integration adapters, most users will simply define a configuration for a live trading node (covered below), and won't need to necessarily work with these lower level components directly.

Examples

You can find working live example scripts here.

Databento documentation

Databento provides extensive documentation for new users which can be found in the Databento new users guide. It's recommended you also refer to the Databento documentation in conjunction with this NautilusTrader integration guide.

Databento Binary Encoding (DBN)

Databento Binary Encoding (DBN) is an extremely fast message encoding and storage format for normalized market data. The DBN specification includes a simple, self-describing metadata header and a fixed set of struct definitions, which enforce a standardized way to normalize market data.

The integration provides a decoder which can convert DBN format data to Nautilus objects.

The same Rust implemented Nautilus decoder is used for:

• Loading and decoding DBN files from disk
• Decoding historical and live data in real time

Supported schemas

The following Databento schemas are supported by NautilusTrader:

Databento schema	Nautilus data type
MBO	OrderBookDelta
MBP_1	(QuoteTick, Option<TradeTick>)
MBP_10	OrderBookDepth10
BBO_1S	QuoteTick
BBO_1M	QuoteTick
TBBO	(QuoteTick, TradeTick)
TRADES	TradeTick
OHLCV_1S	Bar
OHLCV_1M	Bar
OHLCV_1H	Bar
OHLCV_1D	Bar
DEFINITION	Instrument (various types)
IMBALANCE	DatabentoImbalance
STATISTICS	DatabentoStatistics
STATUS	InstrumentStatus

info

See also the Databento Schemas and data formats guide.

Instrument IDs and symbology

Databento market data includes an instrument_id field which is an integer assigned by either the original source venue, or internally by Databento during normalization.

It's important to realize that this is different to the Nautilus InstrumentId which is a string made up of a symbol + venue with a period separator i.e. "{symbol}.{venue}".

The Nautilus decoder will use the Databento raw_symbol for the Nautilus symbol and an ISO 10383 MIC (Market Identifier Code) from the Databento instrument definition message for the Nautilus venue.

Databento datasets are identified with a dataset code which is not the same as a venue identifier. You can read more about Databento dataset naming conventions here.

Of particular note is for CME Globex MDP 3.0 data (GLBX.MDP3 dataset code), the following exchanges are all grouped under the GLBX venue. These mappings can be determined from the instruments exchange field:

• CBCM: XCME-XCBT inter-exchange spread
• NYUM: XNYM-DUMX inter-exchange spread
• XCBT: Chicago Board of Trade (CBOT)
• XCEC: Commodities Exchange Center (COMEX)
• XCME: Chicago Mercantile Exchange (CME)
• XFXS: CME FX Link spread
• XNYM: New York Mercantile Exchange (NYMEX)

info

Other venue MICs can be found in the venue field of responses from the metadata.list_publishers endpoint.

Timestamps

Databento data includes various timestamp fields including (but not limited to):

• ts_event: The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch.
• ts_in_delta: The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv.
• ts_recv: The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.
• ts_out: The Databento sending timestamp.

Nautilus data includes at least two timestamps (required by the Data contract):

• ts_event: UNIX timestamp (nanoseconds) when the data event occurred
• ts_init: UNIX timestamp (nanoseconds) when the data object was initialized

When decoding and normalizing Databento to Nautilus we generally assign the Databento ts_recv value to the Nautilus ts_event field, as this timestamp is much more reliable and consistent, and is guaranteed to be monotonically increasing per instrument. The exception to this are the DatabentoImbalance and DatabentoStatistics data types, which have fields for all timestamps as these types are defined specifically for the adapter.

info

See the following Databento docs for further information:

• Databento standards and conventions - timestamps
• Databento timestamping guide

Data types

The following section discusses Databento schema -> Nautilus data type equivalence and considerations.

info

See Databento schemas and data formats.

Instrument definitions

Databento provides a single schema to cover all instrument classes, these are decoded to the appropriate Nautilus Instrument types.

The following Databento instrument classes are supported by NautilusTrader:

Databento instrument class	Code	Nautilus instrument type
Stock	K	Equity
Future	F	FuturesContract
Call	C	OptionsContract
Put	P	OptionsContract
Future spread	S	FuturesSpread
Option spread	T	OptionsSpread
Mixed spread	M	OptionsSpread
FX spot	X	CurrencyPair
Bond	B	Not yet available

MBO (market by order)

This schema is the highest granularity data offered by Databento, and represents full order book depth. Some messages also provide trade information, and so when decoding MBO messages Nautilus will produce an OrderBookDelta and optionally a TradeTick.

The Nautilus live data client will buffer MBO messages until an F_LAST flag is seen. A discrete OrderBookDeltas container object will then be passed to the registered handler.

Order book snapshots are also buffered into a discrete OrderBookDeltas container object, which occurs during the replay startup sequence.

MBP-1 (market by price, top-of-book)

This schema represents the top-of-book only (quotes and trades). Like with MBO messages, some messages carry trade information, and so when decoding MBP-1 messages Nautilus will produce a QuoteTick and also a TradeTick if the message is a trade.

OHLCV (bar aggregates)

The Databento bar aggregation messages are timestamped at the open of the bar interval. The Nautilus decoder will normalize the ts_event timestamps to the close of the bar (original ts_event + bar interval).

Imbalance & Statistics

The Databento imbalance and statistics schemas cannot be represented as a built-in Nautilus data types, and so they have specific types defined in Rust DatabentoImbalance and DatabentoStatistics. Python bindings are provided via pyo3 (Rust) so the types behave a little differently to a built-in Nautilus data types, where all attributes are pyo3 provided objects and not directly compatible with certain methods which may expect a Cython provided type. There are pyo3 -> legacy Cython object conversion methods available, which can be found in the API reference.

Here is a general pattern for converting a pyo3 Price to a Cython Price:

price = Price.from_raw(pyo3_price.raw, pyo3_price.precision)

Additionally requesting for and subscribing to these data types requires the use of the lower level generic methods for custom data types. The following example subscribes to the imbalance schema for the AAPL.XNAS instrument (Apple Inc trading on the Nasdaq exchange):

from nautilus_trader.adapters.databento import DATABENTO_CLIENT_ID
from nautilus_trader.adapters.databento import DatabentoImbalance
from nautilus_trader.model import DataType

instrument_id = InstrumentId.from_str("AAPL.XNAS")
self.subscribe_data(
    data_type=DataType(DatabentoImbalance, metadata={"instrument_id": instrument_id}),
    client_id=DATABENTO_CLIENT_ID,
)

Or requesting the previous days statistics schema for the ES.FUT parent symbol (all active E-mini S&P 500 futures contracts on the CME Globex exchange):

from nautilus_trader.adapters.databento import DATABENTO_CLIENT_ID
from nautilus_trader.adapters.databento import DatabentoStatisics
from nautilus_trader.model import DataType

instrument_id = InstrumentId.from_str("ES.FUT.GLBX")
metadata = {
    "instrument_id": instrument_id,
    "start": "2024-03-06",
}
self.request_data(
    data_type=DataType(DatabentoImbalance, metadata=metadata),
    client_id=DATABENTO_CLIENT_ID,
)

Performance considerations

When backtesting with Databento DBN data, there are two options:

• Store the data in DBN (.dbn.zst) format files and decode to Nautilus objects on every run
• Convert the DBN files to Nautilus objects and then write to the data catalog once (stored as Nautilus Parquet format on disk)

Whilst the DBN -> Nautilus decoder is implemented in Rust and has been optimized, the best performance for backtesting will be achieved by writing the Nautilus objects to the data catalog, which performs the decoding step once.

DataFusion provides a query engine backend to efficiently load and stream the Nautilus Parquet data from disk, which achieves extremely high through-put (at least an order of magnitude faster than converting DBN -> Nautilus on the fly for every backtest run).

note

Performance benchmarks are currently under development.

Loading DBN data

You can load DBN files and convert the records to Nautilus objects using the DatabentoDataLoader class. There are two main purposes for doing so:

• Pass the converted data to BacktestEngine.add_data directly for backtesting.
• Pass the converted data to ParquetDataCatalog.write_data for later streaming use with a BacktestNode.

DBN data to a BacktestEngine

This code snippet demonstrates how to load DBN data and pass to a BacktestEngine. Since the BacktestEngine needs an instrument added, we'll use a test instrument provided by the TestInstrumentProvider (you could also pass an instrument object which was parsed from a DBN file too). The data is a month of TSLA (Tesla Inc) trades on the Nasdaq exchange:

# Add instrument
TSLA_NASDAQ = TestInstrumentProvider.equity(symbol="TSLA")
engine.add_instrument(TSLA_NASDAQ)

# Decode data to legacy Cython objects
loader = DatabentoDataLoader()
trades = loader.from_dbn_file(
    path=TEST_DATA_DIR / "databento" / "temp" / "tsla-xnas-20240107-20240206.trades.dbn.zst",
    instrument_id=TSLA_NASDAQ.id,
)

# Add data
engine.add_data(trades)

DBN data to a ParquetDataCatalog

This code snippet demonstrates how to load DBN data and write to a ParquetDataCatalog. We pass a value of false for the as_legacy_cython flag, which will ensure the DBN records are decoded as pyo3 (Rust) objects. It's worth noting that legacy Cython objects can also be passed to write_data, but these need to be converted back to pyo3 objects under the hood (so passing pyo3 objects is an optimization).

# Initialize the catalog interface
# (will use the `NAUTILUS_PATH` env var as the path)
catalog = ParquetDataCatalog.from_env()

instrument_id = InstrumentId.from_str("TSLA.XNAS")

# Decode data to pyo3 objects
loader = DatabentoDataLoader()
trades = loader.from_dbn_file(
    path=TEST_DATA_DIR / "databento" / "temp" / "tsla-xnas-20240107-20240206.trades.dbn.zst",
    instrument_id=instrument_id,
    as_legacy_cython=False,  # This is an optimization for writing to the catalog
)

# Write data
catalog.write_data(trades)

info

See also the Data concepts guide.

Real-time client architecture

The DatabentoDataClient is a Python class which contains other Databento adapter classes. There are two DatabentoLiveClients per Databento dataset:

• One for MBO (order book deltas) real-time feeds
• One for all other real-time feeds

warning

There is currently a limitation that all MBO (order book deltas) subscriptions for a dataset have to be made at node startup, to then be able to replay data from the beginning of the session. If subsequent subscriptions arrive after start, then an error will be logged (and the subscription ignored).

There is no such limitation for any of the other Databento schemas.

A single DatabentoHistoricalClient instance is reused between the DatabentoInstrumentProvider and DatabentoDataClient, which makes historical instrument definitions and data requests.

Configuration

The most common use case is to configure a live TradingNode to include a Databento data client. To achieve this, add a DATABENTO section to your client configuration(s):

from nautilus_trader.adapters.databento import DATABENTO
from nautilus_trader.live.node import TradingNode

config = TradingNodeConfig(
    ...,  # Omitted
    data_clients={
        DATABENTO: {
            "api_key": None,  # 'DATABENTO_API_KEY' env var
            "http_gateway": None,  # Override for the default HTTP historical gateway
            "live_gateway": None,  # Override for the default raw TCP real-time gateway
            "instrument_provider": InstrumentProviderConfig(load_all=True),
            "instrument_ids": None,  # Nautilus instrument IDs to load on start
            "parent_symbols": None,  # Databento parent symbols to load on start
        },
    },
    ..., # Omitted
)

Then, create a TradingNode and add the client factory:

from nautilus_trader.adapters.databento.factories import DatabentoLiveDataClientFactory
from nautilus_trader.live.node import TradingNode

# Instantiate the live trading node with a configuration
node = TradingNode(config=config)

# Register the client factory with the node
node.add_data_client_factory(DATABENTO, DatabentoLiveDataClientFactory)

# Finally build the node
node.build()

Configuration parameters

• api_key: The Databento API secret key. If None then will source the DATABENTO_API_KEY environment variable.
• http_gateway: The historical HTTP client gateway override (useful for testing and typically not needed by most users).
• live_gateway: The raw TCP real-time client gateway override (useful for testing and typically not needed by most users).
• parent_symbols: The Databento parent symbols to subscribe to instrument definitions for on start. This is a map of Databento dataset keys -> to a sequence of the parent symbols, e.g. {'GLBX.MDP3', ['ES.FUT', 'ES.OPT']} (for all E-mini S&P 500 futures and options products).
• instrument_ids: The instrument IDs to request instrument definitions for on start.
• timeout_initial_load: The timeout (seconds) to wait for instruments to load (concurrently per dataset).
• mbo_subscriptions_delay: The timeout (seconds) to wait for MBO/L3 subscriptions (concurrently per dataset). After the timeout the MBO order book feed will start and replay messages from the initial snapshot and then all deltas.