fix(ml): add stype_in=Parent for Databento .FUT symbol downloads

The download binary was using the default SType::RawSymbol which
returned empty DBN files (95 bytes) for parent symbols like ES.FUT.
Adding SType::Parent resolves the symbol mapping. Also adjusted end
date to 2026-02-22 (latest available data).

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-02-23 20:02:38 +01:00
parent 4a56cfcc1a
commit ccc917588d
2 changed files with 3 additions and 2 deletions

View File

@@ -10,7 +10,7 @@
name = "futures-baseline"
description = "CME futures baseline: 4 symbols, 730 days, OHLCV-1m"
date_range_start = "2024-03-01"
date_range_end = "2026-02-23"
date_range_end = "2026-02-22"
bar_size = "1m"
databento_dataset = "GLBX.MDP3"
databento_schema = "ohlcv-1m"

View File

@@ -22,7 +22,7 @@ use clap::Parser;
use databento::historical::timeseries::GetRangeToFileParams;
use databento::historical::DateTimeRange;
use databento::HistoricalClient;
use dbn::Schema;
use dbn::{Schema, SType};
use serde::Deserialize;
use std::env;
use std::fs;
@@ -210,6 +210,7 @@ async fn download_quarter(
.dataset(dataset.to_string())
.symbols(vec![symbol.to_string()])
.schema(Schema::Ohlcv1M)
.stype_in(SType::Parent)
.date_time_range(dt_range)
.path(file_path.clone())
.build();