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, skip_on_error: bool, ) -> Result<Vec<InstrumentAny>>

Loads all instrument definitions from a DBN file.

When skip_on_error is true, instruments that fail to decode are logged as warnings and skipped. When false (default), any decode error is propagated.

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

const NAME: &str = "DatabentoDataLoader"

Name of the class.

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for DatabentoDataLoader

const MODULE: Option<&str>

Module which the class will be associated with.

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 Layout = <<DatabentoDataLoader as PyClassImpl>::BaseNativeType as PyClassBaseType>::Layout<DatabentoDataLoader>

Description of how this class is laid out in memory

type BaseType = PyAny

Base class

type ThreadChecker = NoopThreadChecker

This handles following two situations:

type Inventory = Pyo3MethodsInventoryForDatabentoDataLoader

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<PyObjectOffset>

Used to provide the dictoffset slot (equivalent to tp_dictoffset)

fn weaklist_offset() -> Option<PyObjectOffset>

Used to provide the weaklistoffset slot (equivalent to tp_weaklistoffset

impl PyClassNewTextSignature for DatabentoDataLoader

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

impl PyStubType for DatabentoDataLoader

fn type_output() -> TypeInfo

The type to be used in the output signature, i.e. return type of the Python function or methods.

fn type_input() -> TypeInfo

The type to be used in the input signature, i.e. the arguments of the Python function or methods.

impl PyTypeInfo for DatabentoDataLoader

const NAME: &str = <Self as ::pyo3::PyClass>::NAME

👎Deprecated since 0.28.0:

prefer using ::type_object(py).name() to get the correct runtime value

Class name.

const MODULE: Option<&str> = <Self as ::pyo3::impl_::pyclass::PyClassImpl>::MODULE

👎Deprecated since 0.28.0:

prefer using ::type_object(py).module() to get the correct runtime value

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

impl ExtractPyClassWithClone for DatabentoDataLoader