Add Databento historical replay adapter + symbol mapping; speed up replay UI + completion state
- add Databento options adapter (TS) with Python sidecar and env wiring - add to stream historical trades and resolve instrument_id -> raw_symbol via symbology - include Databento + typing_extensions in ingest-options Python requirements - expose Databento env settings in ingest-options index (dataset/schema/start/end/stype/limit/price scale/python bin) - update README with Databento replay usage and env docs - speed up UI replay polling/drain, add per-card replay time display - stop replay at end and prevent fallback to synthetic by pinning replay to initial trace source
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dirtydishes
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6 changed files with 799 additions and 33 deletions
278
services/ingest-options/py/databento_replay.py
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278
services/ingest-options/py/databento_replay.py
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#!/usr/bin/env python3
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import argparse
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import datetime as dt
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import inspect
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import json
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import os
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import sys
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def parse_args() -> argparse.Namespace:
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parser = argparse.ArgumentParser(description="Replay Databento option trades as JSON lines.")
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parser.add_argument("--dataset", required=True)
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parser.add_argument("--schema", default="trades")
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parser.add_argument("--start", required=True)
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parser.add_argument("--end", default="")
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parser.add_argument("--symbols", default="ALL")
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parser.add_argument("--stype-in", dest="stype_in", default="raw_symbol")
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parser.add_argument("--stype-out", dest="stype_out", default="raw_symbol")
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parser.add_argument("--limit", type=int, default=0)
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parser.add_argument("--api-key", dest="api_key", default="")
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return parser.parse_args()
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def resolve_client(db_module, api_key: str):
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try:
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return db_module.Historical(api_key)
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except TypeError:
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return db_module.Historical(key=api_key)
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def normalize_symbols(value: str):
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if not value or value.strip().upper() == "ALL":
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return None
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return [symbol.strip() for symbol in value.split(",") if symbol.strip()]
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def parse_date(value: str | None) -> dt.date | None:
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if not value:
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return None
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try:
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parsed = dt.datetime.fromisoformat(value)
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return parsed.date()
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except ValueError:
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try:
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return dt.date.fromisoformat(value)
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except ValueError:
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return None
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def normalize_ts(ts_value):
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if ts_value is None:
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return None
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if isinstance(ts_value, dt.datetime):
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return int(ts_value.timestamp() * 1000)
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if isinstance(ts_value, dt.date):
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return int(dt.datetime.combine(ts_value, dt.time()).timestamp() * 1000)
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if isinstance(ts_value, (int, float)):
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if ts_value > 1_000_000_000_000_000:
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return int(ts_value / 1_000_000)
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return int(ts_value)
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return None
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def stringify(value):
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if value is None:
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return None
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if isinstance(value, bytes):
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return value.decode("utf-8", errors="ignore")
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return str(value)
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def is_numeric_symbol(value: object) -> bool:
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if isinstance(value, int):
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return True
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if isinstance(value, str):
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return value.isdigit()
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return False
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class SymbolResolver:
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def __init__(self, client, dataset: str, start_date: dt.date | None, end_date: dt.date | None):
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from databento.common.symbology import InstrumentMap
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self._client = client
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self._dataset = dataset
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self._start_date = start_date
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self._end_date = end_date
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self._map = InstrumentMap()
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self._pending: list[int] = []
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self._pending_set: set[int] = set()
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def queue(self, instrument_id: int) -> None:
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if instrument_id in self._pending_set:
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return
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self._pending_set.add(instrument_id)
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self._pending.append(instrument_id)
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def resolve_pending(self) -> None:
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if not self._pending:
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return
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pending = self._pending
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self._pending = []
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self._pending_set.clear()
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for i in range(0, len(pending), 2000):
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chunk = pending[i : i + 2000]
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response = self._client.symbology.resolve(
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dataset=self._dataset,
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symbols=chunk,
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stype_in="instrument_id",
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stype_out="raw_symbol",
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start_date=self._start_date or dt.date.today(),
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end_date=self._end_date,
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)
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self._map.insert_json(response)
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def lookup(self, instrument_id: int, date: dt.date) -> str | None:
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if instrument_id is None:
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return None
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return self._map.resolve(instrument_id, date)
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def pending_count(self) -> int:
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return len(self._pending)
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def build_payload(record, symbol_override: str | None = None) -> dict | None:
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ts_event = getattr(record, "ts_event", None)
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price = getattr(record, "price", None)
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size = getattr(record, "size", None)
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symbol = symbol_override or (
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getattr(record, "symbol", None)
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or getattr(record, "raw_symbol", None)
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or getattr(record, "instrument_id", None)
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)
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if ts_event is None or price is None or size is None or symbol is None:
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return None
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ts_ms = normalize_ts(ts_event)
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if ts_ms is None:
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return None
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exchange = (
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getattr(record, "exchange", None)
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or getattr(record, "publisher_id", None)
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or getattr(record, "exchange_id", None)
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)
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conditions = getattr(record, "conditions", None) or getattr(record, "condition", None)
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if isinstance(conditions, str):
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conditions = [conditions]
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payload = {
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"ts": ts_ms,
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"price": float(price),
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"size": int(size),
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"symbol": stringify(symbol),
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}
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if exchange is not None:
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payload["exchange"] = stringify(exchange)
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if conditions:
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payload["conditions"] = conditions
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return payload
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def emit_payload(payload: dict | None) -> None:
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if payload is None:
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return
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print(json.dumps(payload), flush=True)
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def main() -> int:
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args = parse_args()
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api_key = args.api_key or os.getenv("DATABENTO_API_KEY")
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if not api_key:
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sys.stderr.write("DATABENTO_API_KEY is required.\n")
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return 1
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try:
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import databento as db
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except ImportError:
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sys.stderr.write("Missing Python package 'databento'. Install with pip.\n")
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return 1
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client = resolve_client(db, api_key)
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start_date = parse_date(args.start)
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end_date = parse_date(args.end) if args.end else None
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resolver = SymbolResolver(client, args.dataset, start_date, end_date)
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buffered: list[tuple[object, int, dt.date]] = []
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kwargs = {
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"dataset": args.dataset,
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"schema": args.schema,
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"start": args.start,
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"end": args.end or None,
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"symbols": normalize_symbols(args.symbols),
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"stype_in": args.stype_in,
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"stype_out": args.stype_out,
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"limit": args.limit or None,
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}
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signature = inspect.signature(client.timeseries.get_range)
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filtered_kwargs = {
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key: value for key, value in kwargs.items() if key in signature.parameters and value is not None
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}
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data = client.timeseries.get_range(**filtered_kwargs)
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def flush_buffer(force: bool = False) -> None:
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if not buffered:
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return
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resolver.resolve_pending()
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remaining: list[tuple[object, int, dt.date]] = []
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for record, instrument_id, date in buffered:
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mapped = resolver.lookup(instrument_id, date)
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if mapped:
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emit_payload(build_payload(record, mapped))
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elif force:
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emit_payload(build_payload(record, str(instrument_id)))
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else:
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remaining.append((record, instrument_id, date))
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buffered[:] = remaining
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def handle_record(record) -> None:
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symbol = (
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getattr(record, "symbol", None)
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or getattr(record, "raw_symbol", None)
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or getattr(record, "instrument_id", None)
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)
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ts_event = getattr(record, "ts_event", None)
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ts_ms = normalize_ts(ts_event)
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if ts_ms is None:
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return
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date = dt.datetime.utcfromtimestamp(ts_ms / 1000).date()
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if is_numeric_symbol(symbol):
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instrument_id = int(symbol)
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mapped = resolver.lookup(instrument_id, date)
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if mapped:
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emit_payload(build_payload(record, mapped))
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return
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resolver.queue(instrument_id)
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buffered.append((record, instrument_id, date))
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if resolver.pending_count() >= 200:
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flush_buffer()
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return
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emit_payload(build_payload(record))
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if hasattr(data, "replay"):
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try:
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data.replay(callback=handle_record)
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except TypeError:
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data.replay(handle_record)
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flush_buffer(force=True)
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return 0
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if hasattr(data, "__iter__"):
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for record in data:
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handle_record(record)
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if len(buffered) >= 2000:
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flush_buffer()
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flush_buffer(force=True)
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return 0
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sys.stderr.write("Unsupported Databento response type.\n")
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return 1
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if __name__ == "__main__":
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raise SystemExit(main())
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@ -1 +1,3 @@
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ib_insync>=0.9.83
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databento
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typing_extensions
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