Merge pull request #3 from Joseph-Matteo-Scorsone/databento-integration

Improvements.

Author: jaredbroad

Demonstration.cs

@@ -22,6 +22,7 @@
 using QuantConnect.Securities.Future;
 using QuantConnect.Util;
 using System;
+using System.Linq;
 
 namespace QuantConnect.Algorithm.CSharp
 {
@@ -39,7 +40,19 @@ public override void Initialize()
 
             var exp = new DateTime(2025, 12, 19);
             var symbol = QuantConnect.Symbol.CreateFuture("ES", Market.CME, exp);
+            //_es = AddFutureContract(symbol, Resolution.Tick, true, 1, true);
             _es = AddFutureContract(symbol, Resolution.Second, true, 1, true);
+            Log($"_es: {_es}");
+
+            var history = History<TradeBar>(_es.Symbol, 10, Resolution.Minute).ToList();
+            
+            Log($"History returned {history.Count} bars");
+            
+            foreach (var bar in history)
+            {
+                Log($"History Bar: {bar.Time} - O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
+            }
+            
         }
 
         public override void OnData(Slice slice)
@@ -51,13 +64,13 @@ public override void OnData(Slice slice)
             }
 
             Log($"OnData: Slice has {slice.Count} data points");
-            
+
             // For Tick resolution, check Ticks collection
             if (slice.Ticks.ContainsKey(_es.Symbol))
             {
                 var ticks = slice.Ticks[_es.Symbol];
                 Log($"Received {ticks.Count} ticks for {_es.Symbol}");
-                
+
                 foreach (var tick in ticks)
                 {
                     if (tick.TickType == TickType.Trade)
@@ -70,12 +83,11 @@ public override void OnData(Slice slice)
                     }
                 }
             }
-            
-            // These won't have data for Tick resolution
-            if (slice.Bars.ContainsKey(_es.Symbol))
+
+            // Access OHLCV bars
+            foreach (var bar in slice.Bars.Values)
             {
-                var bar = slice.Bars[_es.Symbol];
-                Log($"Bar - O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
+                Log($"OHLCV BAR: {bar.Symbol.Value} - O: {bar.Open}, H: {bar.High}, L: {bar.Low}, C: {bar.Close}, V: {bar.Volume}");
             }
         }
     }

DemonstrationUniverse.cs

@@ -5,7 +5,6 @@
   </PropertyGroup>
   <ItemGroup>
     <Compile Include="..\Demonstration.cs" Link="Demonstration.cs" />
-    <Compile Include="..\DemonstrationUniverse.cs" Link="DemonstrationUniverse.cs" />
   </ItemGroup>
   <ItemGroup>
     <PackageReference Include="protobuf-net" Version="3.1.33" />

QuantConnect.DataBento.Tests/QuantConnect.DataSource.DataBento.Tests.csproj

@@ -33,15 +33,13 @@
 namespace QuantConnect.Lean.DataSource.DataBento
 {
     /// <summary>
-    /// Data downloader class for pulling data from Data Provider
+    /// Data downloader for historical data from DataBento's Raw HTTP API
+    /// Converts DataBento data to Lean data types
     /// </summary>
     public class DataBentoDataDownloader : IDataDownloader, IDisposable
     {
-        /// <inheritdoc cref="HttpClient"/>
         private readonly HttpClient _httpClient;
-
         private readonly string _apiKey;
-
         private const decimal PriceScaleFactor = 1e-9m;
 
         /// <summary>
@@ -72,8 +70,6 @@ public IEnumerable<BaseData> Get(DataDownloaderGetParameters parameters)
         {
             var symbol = parameters.Symbol;
             var resolution = parameters.Resolution;
-            var startUtc = parameters.StartUtc;
-            var endUtc = parameters.EndUtc;
             var tickType = parameters.TickType;
 
             var dataset = "GLBX.MDP3"; // hard coded for now. Later on can add equities and options with different mapping
@@ -85,8 +81,8 @@ public IEnumerable<BaseData> Get(DataDownloaderGetParameters parameters)
             body.Append($"dataset={dataset}");
             body.Append($"&symbols={dbSymbol}");
             body.Append($"&schema={schema}");
-            body.Append($"&start={startUtc:yyyy-MM-ddTHH:mm}");
-            body.Append($"&end={endUtc:yyyy-MM-ddTHH:mm}");
+            body.Append($"&start={parameters.StartUtc:yyyy-MM-ddTHH:mm}");
+            body.Append($"&end={parameters.EndUtc:yyyy-MM-ddTHH:mm}");
             body.Append("&stype_in=parent");
             body.Append("&encoding=csv");