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jaredbroadjaredbroad
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Merge pull request #2 from Joseph-Matteo-Scorsone/databento-integration
Initial code for DataBento Implementation.
2 parents 7e66db5 + 8e5574c commit 6faf7dd

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‎.github/workflows/build.yml‎

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name: Build & Test
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on:
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push:
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branches: ['*']
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pull_request:
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branches: [master]
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jobs:
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build:
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runs-on: ubuntu-24.04
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steps:
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- name: Checkout
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uses: actions/checkout@v2
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- name: Liberate disk space
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uses: jlumbroso/free-disk-space@main
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with:
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tool-cache: true
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large-packages: false
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docker-images: false
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swap-storage: false
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- name: Checkout Lean Same Branch
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id: lean-same-branch
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uses: actions/checkout@v2
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continue-on-error: true
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with:
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ref: ${{ github.ref }}
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repository: QuantConnect/Lean
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path: Lean
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- name: Checkout Lean Master
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if: steps.lean-same-branch.outcome != 'success'
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uses: actions/checkout@v2
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with:
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repository: QuantConnect/Lean
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path: Lean
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- name: Move Lean
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run: mv Lean ../Lean
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- uses: addnab/docker-run-action@v3
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with:
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image: quantconnect/lean:foundation
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options: --workdir /__w/Lean.DataSource.SDK/Lean.DataSource.SDK -v /home/runner/work:/__w
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shell: bash
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run: |
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# BuildDataSource
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dotnet build ./QuantConnect.DataSource.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1 && \
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# BuildTests
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dotnet build ./tests/Tests.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1 && \
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# Run Tests
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dotnet test ./tests/bin/Release/net9.0/Tests.dll

‎.gitignore‎

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Module.symvers
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Mkfile.old
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dkms.conf
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# Build results
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[Dd]ebug/
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[Dd]ebugPublic/
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[Rr]elease/
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[Rr]eleases/
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x64/
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x86/
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.vs/
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build/
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bld/
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[Bb]in/
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[Oo]bj/

‎Demonstration.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect;
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using QuantConnect.Data;
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using QuantConnect.Securities.Future;
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using QuantConnect.Util;
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using System;
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namespace QuantConnect.Algorithm.CSharp
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{
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public class DatabentoFuturesTestAlgorithm : QCAlgorithm
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{
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private Future _es;
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public override void Initialize()
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{
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Log("Algorithm Initialize");
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SetStartDate(2025, 10, 1);
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SetEndDate(2025, 10, 16);
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SetCash(100000);
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var exp = new DateTime(2025, 12, 19);
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var symbol = QuantConnect.Symbol.CreateFuture("ES", Market.CME, exp);
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_es = AddFutureContract(symbol, Resolution.Second, true, 1, true);
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}
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public override void OnData(Slice slice)
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{
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if (!slice.HasData)
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{
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Log("Slice has no data");
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return;
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}
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Log($"OnData: Slice has {slice.Count} data points");
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// For Tick resolution, check Ticks collection
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if (slice.Ticks.ContainsKey(_es.Symbol))
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{
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var ticks = slice.Ticks[_es.Symbol];
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Log($"Received {ticks.Count} ticks for {_es.Symbol}");
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foreach (var tick in ticks)
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{
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if (tick.TickType == TickType.Trade)
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{
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Log($"Trade Tick - Price: {tick.Price}, Quantity: {tick.Quantity}, Time: {tick.Time}");
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}
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else if (tick.TickType == TickType.Quote)
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{
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Log($"Quote Tick - Bid: {tick.BidPrice}x{tick.BidSize}, Ask: {tick.AskPrice}x{tick.AskSize}, Time: {tick.Time}");
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}
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}
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}
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// These won't have data for Tick resolution
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if (slice.Bars.ContainsKey(_es.Symbol))
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{
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var bar = slice.Bars[_es.Symbol];
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Log($"Bar - O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
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}
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}
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}
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}

‎DemonstrationUniverse.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System.Linq;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.DataSource;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Example algorithm using the custom data type as a source of alpha
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/// </summary>
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public class CustomDataUniverse : QCAlgorithm
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{ }
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}

‎Lean.DataSource.DataBento.sln‎

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Microsoft Visual Studio Solution File, Format Version 12.00
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# Visual Studio Version 17
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VisualStudioVersion = 17.5.2.0
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MinimumVisualStudioVersion = 10.0.40219.1
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QuantConnect.DataBento", "QuantConnect.DataBento\QuantConnect.DataSource.DataBento.csproj", "{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}"
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EndProject
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Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QuantConnect.DataBento.Tests", "QuantConnect.DataBento.Tests\QuantConnect.DataSource.DataBento.Tests.csproj", "{9CF47860-2CEA-F379-09D8-9AEF27965D12}"
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EndProject
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Global
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GlobalSection(SolutionConfigurationPlatforms) = preSolution
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Debug|Any CPU = Debug|Any CPU
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Release|Any CPU = Release|Any CPU
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EndGlobalSection
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GlobalSection(ProjectConfigurationPlatforms) = postSolution
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{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Release|Any CPU.Build.0 = Release|Any CPU
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{4B379C8F-16CE-1972-73E3-C14F6410D428}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{4B379C8F-16CE-1972-73E3-C14F6410D428}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{4B379C8F-16CE-1972-73E3-C14F6410D428}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{4B379C8F-16CE-1972-73E3-C14F6410D428}.Release|Any CPU.Build.0 = Release|Any CPU
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{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
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{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Release|Any CPU.Build.0 = Release|Any CPU
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EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
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EndGlobalSection
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GlobalSection(ExtensibilityGlobals) = postSolution
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SolutionGuid = {CE272A88-90FF-4452-B402-D3AD0D08FB15}
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EndGlobalSection
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EndGlobal

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