Databento livedata - Looking for complete code example

Community
1

Hello Questdb, I came across an excellent post on using Databento provided live-data with Questdb, at Analyzing multi-stream market data with Databento, Grafana and QuestDB. I would like to try the techniques presented locally in my setup. Is there a complete code or github repo available? The post has only a few snippets of the important sections.
Thank you,
SG

2

He @suhasghorp –

Glad you liked the tutorial.

We’ll check into this and get back to you!

3

Hello, please let me know if the article does not come with complete code example. It won’t be easy but I will try to fill in the gaps with what’s available in the documentation.

Thanks!

4

Hey @suhasghorp – is this helpful?

import databento as db
from questdb.ingress import Sender
import numpy as np

questdb_conf = "http::addr=localhost:9000;username=admin;password=quest;"
db_client = db.historical(key="YOUR KEY")

db_client.timeseries.get_range(
    dataset="GLBX.MDP3",
    schema="mbp-1",
    stype_in="parent",
    symbols="ES.FUT",
    start="2024-02-16T13:00:00",
    end="2024-07-16T18:00:00"
)

factor = 0.000000001
instruments = {}


with Sender.from_conf(questdb_conf) as sender:
    for record in db_client:
        print(record)
        if isinstance(record, db.SymbolMappingMsg):
            instruments.update({record.hd.instrument_id: record.stype_out_symbol})

        elif isinstance(record, db.MBP10Msg):
            sender.row(
                'SP_FUTURES',
                symbols={'instrument': instruments[record.instrument_id]},
                columns={'bid_size_0': record.levels[0].bid_sz,
                         'ask_size_0': record.levels[0].ask_sz,
                         'bid_price_0': record.levels[0].bid_px * factor,
                         'ask_price_0': record.levels[0].ask_px * factor},
                at=np.datetime64(record.ts_event, 'ns').astype('datetime64[ms]').astype(object))