databento-rs

The official Rust client library for Databento. The clients support streaming both real-time and historical market data through similar interfaces.

Installation

To add the crate to an existing project, run the following command:

cargo add databento

Usage

Live

Real-time and intraday replay is provided through the Live clients. Here is a simple program that fetches the next ES mini futures trade:

use std::{collections::HashMap, error::Error};

use databento::{
    dbn::{
        enums::{SType, Schema},
        record::{SymbolMappingMsg, TradeMsg},
    },
    live::Subscription,
    LiveClient,
};


#[tokio::main]
async fn main() -> Result<(), Box<dyn Error>> {
    let mut client = LiveClient::builder()
        .key_from_env()?
        .dataset(dbn::datasets::GLBX_MDP3)
        .build()
        .await?;
    client
        .subscribe(
            &Subscription::builder()
                .symbols("ES.FUT")
                .schema(Schema::Trades)
                .stype_in(SType::Parent)
                .build(),
        )
        .await
        .unwrap();
    client.start().await?;

    let mut symbol_mappings = HashMap::new();
    // Get the next trade
    loop {
        let rec = client.next_record().await?.unwrap();
        if rec.has::<TradeMsg>() {
            let trade = rec.get::<TradeMsg>().unwrap();
            let symbol = symbol_mappings.get(&trade.hd.instrument_id).unwrap();
            println!("Received trade for {symbol}: {trade:?}",);
            break;
        } else if rec.has::<SymbolMappingMsg>() {
            let sym_map = rec.get::<SymbolMappingMsg>().unwrap();
            symbol_mappings.insert(
                sym_map.hd.instrument_id,
                sym_map.stype_out_symbol()?.to_owned(),
            );
        }
    }
    Ok(())
}

To run this program, set the DATABENTO_API_KEY environment variable with an actual API key.

Historical

Here is a simple program that fetches 10 minutes worth of historical trades for the entire CME Globex market:

use std::error::Error;

use databento::{
    dbn::{enums::Schema, record::TradeMsg},
    historical::timeseries::GetRangeParams,
    HistoricalClient, Symbols,
};
use time::macros::datetime;

#[tokio::main]
async fn main() -> Result<(), Box<dyn Error>> {
    let mut client = HistoricalClient::builder().key_from_env()?.build()?;
    let mut decoder = client
        .timeseries()
        .get_range(
            &GetRangeParams::builder()
                .dataset("GLBX.MDP3")
                .date_time_range((
                    datetime!(2022-06-10 14:30 UTC),
                    datetime!(2022-06-10 14:40 UTC),
                ))
                .symbols(Symbols::All)
                .schema(Schema::Trades)
                .build(),
        )
        .await?;
    while let Some(trade) = decoder.decode_record::<TradeMsg>().await? {
        println!("{trade:?}");
    }
    Ok(())
}

To run this program, set the DATABENTO_API_KEY environment variable with an actual API key.

Documentation

You can find more detailed examples and the full API documentation on the Databento docs site.

License

Distributed under the Apache 2.0 License.