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Add Databento NBBO replay ingestion

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dirtydishes 2026-01-11 12:11:13 -05:00
parent c8c8094594
commit 4f743437d1
3 changed files with 200 additions and 76 deletions
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2
services/ingest-options/src/index.ts
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@ -46,6 +46,7 @@ const envSchema = z.object({
DATABENTO_API_KEY: z.string().default(""),
DATABENTO_DATASET: z.string().default("OPRA.PILLAR"),
DATABENTO_SCHEMA: z.string().default("trades"),
DATABENTO_NBBO_SCHEMA: z.string().default("tbbo"),
DATABENTO_START: z.string().default(""),
DATABENTO_END: z.string().default(""),
DATABENTO_SYMBOLS: z.string().default("ALL"),
@ -188,6 +189,7 @@ const selectAdapter = (name: string): OptionIngestAdapter => {
apiKey: env.DATABENTO_API_KEY,
dataset: env.DATABENTO_DATASET,
schema: env.DATABENTO_SCHEMA,
nbboSchema: env.DATABENTO_NBBO_SCHEMA,
start: env.DATABENTO_START,
end: env.DATABENTO_END || undefined,
symbols: env.DATABENTO_SYMBOLS,