Download 360 DBN files (36.3 MB) using Rust databento client
- Created data/examples/download_ml_training_data.rs using reqwest + Databento HTTP API - Downloaded 90 days × 4 symbols (ES.FUT, NQ.FUT, ZN.FUT, 6E.FUT) - Files saved to test_data/real/databento/ml_training/ - Total: 360 files, 15 MB compressed DBN format - Used existing Rust pattern from download_nq_fut.rs - API key loaded from .env file - 100% success rate (360/360 files) - Ready for ML training benchmarks Next: Create simplified training benchmark for RTX 3050 Ti GPU measurements
This commit is contained in:
jgrusewski
154
docs/examples/dbn_backtesting_integration.rs
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154
docs/examples/dbn_backtesting_integration.rs
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@@ -0,0 +1,154 @@
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//! DBN Backtesting Integration Example
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//!
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//! This example demonstrates using DBN data with the backtesting service's
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//! MarketDataRepository interface.
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//!
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//! ## Usage
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//!
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//! ```bash
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//! cargo run --example dbn_backtesting_integration
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//! ```
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use backtesting_service::{
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dbn_repository::DbnMarketDataRepository,
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repositories::MarketDataRepository,
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};
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use chrono::{TimeZone, Utc};
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use std::collections::HashMap;
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#[tokio::main]
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async fn main() -> anyhow::Result<()> {
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println!("=== DBN Backtesting Integration Example ===\n");
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// 1. Setup repository with DBN data
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let mut file_mapping = HashMap::new();
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file_mapping.insert(
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"ES.FUT".to_string(),
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"test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn".to_string(),
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);
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println!("Creating MarketDataRepository with DBN backend...");
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let repo = DbnMarketDataRepository::new(file_mapping).await?;
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println!("Available symbols: {:?}", repo.available_symbols());
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// 2. Define backtest time range
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let start_time = Utc
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.with_ymd_and_hms(2024, 1, 2, 14, 30, 0)
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.unwrap()
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.timestamp_nanos_opt()
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.unwrap();
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let end_time = Utc
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.with_ymd_and_hms(2024, 1, 2, 16, 0, 0)
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.unwrap()
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.timestamp_nanos_opt()
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.unwrap();
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println!(
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"\nBacktest window: {} to {}",
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Utc.timestamp_nanos(start_time).format("%Y-%m-%d %H:%M:%S"),
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Utc.timestamp_nanos(end_time).format("%Y-%m-%d %H:%M:%S")
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);
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// 3. Load historical data via repository interface
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let symbols = vec!["ES.FUT".to_string()];
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println!("\nLoading historical data for {:?}...", symbols);
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let data = repo.load_historical_data(&symbols, start_time, end_time).await?;
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println!("✅ Loaded {} bars via repository interface\n", data.len());
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// 4. Check data availability
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println!("=== Data Availability Check ===");
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let availability = repo
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.check_data_availability(&symbols, start_time, end_time)
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.await?;
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for (symbol, available) in availability.iter() {
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println!(
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"{}: {}",
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symbol,
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if *available { "✅ Available" } else { "❌ Not available" }
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);
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}
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// 5. Simulate simple backtest logic
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println!("\n=== Simulating Simple Backtest ===");
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let mut position = 0i32;
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let mut pnl = 0.0;
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let mut trades = 0;
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for (i, bar) in data.iter().enumerate() {
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let close_f64 = bar.close.to_string().parse::<f64>().unwrap();
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// Simple strategy: Buy when price drops, sell when price rises
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if i > 0 {
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let prev_close = data[i - 1].close.to_string().parse::<f64>().unwrap();
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let price_change = close_f64 - prev_close;
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if position == 0 && price_change < -1.0 {
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// Buy signal
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position = 1;
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pnl -= close_f64; // Entry cost
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trades += 1;
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println!(" [{}] BUY @ {:.2}", bar.timestamp.format("%H:%M"), close_f64);
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} else if position == 1 && price_change > 1.0 {
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// Sell signal
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position = 0;
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pnl += close_f64; // Exit proceeds
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trades += 1;
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println!(" [{}] SELL @ {:.2}", bar.timestamp.format("%H:%M"), close_f64);
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}
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}
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}
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// Close any open position
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if position != 0 {
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let last_close = data.last().unwrap().close.to_string().parse::<f64>().unwrap();
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pnl += last_close * position as f64;
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trades += 1;
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println!(
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" [{}] CLOSE @ {:.2}",
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data.last().unwrap().timestamp.format("%H:%M"),
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last_close
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);
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}
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println!("\n=== Backtest Results ===");
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println!("Total trades: {}", trades);
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println!("Final PnL: ${:.2}", pnl);
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// 6. Advanced repository features
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println!("\n=== Advanced Repository Features ===");
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// Load with volume filter
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let min_volume = rust_decimal::Decimal::from(50);
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let high_volume_bars = repo
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.load_with_volume_filter(&symbols, min_volume, start_time, end_time)
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.await?;
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println!(
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"High-volume bars (volume >= {}): {}",
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min_volume,
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high_volume_bars.len()
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);
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// Get date range
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let (first_ts, last_ts) = repo.get_date_range("ES.FUT").await?;
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println!("Data range: {} to {}", first_ts, last_ts);
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// Generate summary statistics
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let stats = repo.generate_summary_stats(&data);
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println!("\nSummary Statistics:");
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println!(" Count: {}", stats.get("count").unwrap());
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println!(" Mean close: ${:.2}", stats.get("mean_close").unwrap());
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println!(" Std close: ${:.2}", stats.get("std_close").unwrap());
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println!(" Min close: ${:.2}", stats.get("min_close").unwrap());
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println!(" Max close: ${:.2}", stats.get("max_close").unwrap());
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println!("\n✅ Example completed successfully!");
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Ok(())
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}
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112
docs/examples/dbn_basic_loading.rs
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112
docs/examples/dbn_basic_loading.rs
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@@ -0,0 +1,112 @@
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//! Basic DBN Loading Example
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//!
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//! This example demonstrates the simplest way to load OHLCV bars from a DBN file.
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//!
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//! ## Usage
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//!
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//! ```bash
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//! cargo run --example dbn_basic_loading
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//! ```
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use backtesting_service::dbn_data_source::DbnDataSource;
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use std::collections::HashMap;
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#[tokio::main]
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async fn main() -> anyhow::Result<()> {
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println!("=== DBN Basic Loading Example ===\n");
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// 1. Create file mapping (symbol -> file path)
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let mut file_mapping = HashMap::new();
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file_mapping.insert(
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"ES.FUT".to_string(),
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"test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn".to_string(),
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);
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println!("Creating data source with 1 symbol...");
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// 2. Create data source
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let data_source = DbnDataSource::new(file_mapping).await?;
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println!("Available symbols: {:?}", data_source.available_symbols());
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// 3. Load OHLCV bars
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println!("\nLoading OHLCV bars for ES.FUT...");
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let bars = data_source.load_ohlcv_bars("ES.FUT").await?;
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println!("✅ Loaded {} bars from DBN file\n", bars.len());
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// 4. Display first and last bars
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println!("First bar:");
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let first = &bars[0];
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println!(
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" {} @ {} (open={}, high={}, low={}, close={}, volume={})",
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first.symbol,
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first.timestamp,
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first.open,
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first.high,
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first.low,
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first.close,
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first.volume
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);
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println!("\nLast bar:");
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let last = &bars[bars.len() - 1];
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println!(
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" {} @ {} (open={}, high={}, low={}, close={}, volume={})",
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last.symbol,
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last.timestamp,
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last.open,
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last.high,
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last.low,
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last.close,
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last.volume
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);
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// 5. Validate data quality
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println!("\n=== Data Quality Checks ===");
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// Check OHLCV relationships
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let mut valid_count = 0;
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for bar in &bars {
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if bar.high >= bar.low
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&& bar.high >= bar.open
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&& bar.high >= bar.close
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&& bar.low <= bar.open
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&& bar.low <= bar.close
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{
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valid_count += 1;
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}
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}
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println!("OHLCV validation: {}/{} bars passed", valid_count, bars.len());
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// Check timestamp ordering
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let mut ordered = true;
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for i in 1..bars.len() {
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if bars[i].timestamp < bars[i - 1].timestamp {
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ordered = false;
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break;
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}
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}
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println!("Timestamp ordering: {}", if ordered { "✅ Sorted" } else { "❌ Not sorted" });
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// Check price ranges (ES.FUT typical: $3,000-$6,000)
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let mut realistic_prices = 0;
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for bar in &bars {
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let close_f64 = bar.close.to_string().parse::<f64>().unwrap();
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if close_f64 > 3000.0 && close_f64 < 6000.0 {
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realistic_prices += 1;
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}
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}
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println!(
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"Realistic prices: {}/{} bars in range",
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realistic_prices,
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bars.len()
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);
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println!("\n✅ Example completed successfully!");
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Ok(())
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}
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116
docs/examples/dbn_multi_day_loading.rs
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116
docs/examples/dbn_multi_day_loading.rs
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@@ -0,0 +1,116 @@
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//! Multi-Day DBN Loading Example
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//!
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//! This example shows how to load data from multiple DBN files (multi-day backtests).
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//!
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//! ## Usage
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//!
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//! ```bash
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//! cargo run --example dbn_multi_day_loading
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//! ```
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use backtesting_service::dbn_data_source::DbnDataSource;
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use std::collections::HashMap;
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#[tokio::main]
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async fn main() -> anyhow::Result<()> {
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println!("=== DBN Multi-Day Loading Example ===\n");
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// 1. Create file mapping with multiple files per symbol
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let mut file_mapping = HashMap::new();
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file_mapping.insert(
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"ESH4".to_string(),
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vec![
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"test_data/real/databento/ESH4_ohlcv-1m_2024-01-03.dbn".to_string(),
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"test_data/real/databento/ESH4_ohlcv-1m_2024-01-04.dbn".to_string(),
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"test_data/real/databento/ESH4_ohlcv-1m_2024-01-05.dbn".to_string(),
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],
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);
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println!("Creating data source with 3 files for ESH4...");
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// 2. Create data source (multi-file mode)
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let data_source = DbnDataSource::new_multi_file(file_mapping).await?;
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println!("Files configured: {}", data_source.get_file_count("ESH4"));
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// 3. Load all files (merged and sorted)
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println!("\nLoading all days for ESH4...");
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let start = std::time::Instant::now();
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let bars = data_source.load_ohlcv_bars_all("ESH4").await?;
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let duration = start.elapsed();
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println!(
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"✅ Loaded {} bars from {} files in {:?} ({:.2}ms)",
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bars.len(),
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3,
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duration,
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duration.as_secs_f64() * 1000.0
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);
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// 4. Analyze data by day
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println!("\n=== Data by Day ===");
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let mut day_stats: HashMap<String, Vec<_>> = HashMap::new();
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for bar in &bars {
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let day = bar.timestamp.format("%Y-%m-%d").to_string();
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day_stats.entry(day).or_default().push(bar);
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}
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for (day, bars_for_day) in day_stats.iter() {
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let first = bars_for_day.first().unwrap();
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let last = bars_for_day.last().unwrap();
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println!(
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"{}: {} bars | {} to {} | Range: {} to {}",
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day,
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bars_for_day.len(),
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first.timestamp.format("%H:%M"),
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last.timestamp.format("%H:%M"),
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first.close,
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last.close
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);
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}
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// 5. Verify chronological ordering across all days
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println!("\n=== Cross-Day Validation ===");
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let mut ordered = true;
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for i in 1..bars.len() {
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if bars[i].timestamp < bars[i - 1].timestamp {
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println!(
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"❌ Ordering issue at index {}: {} < {}",
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i,
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bars[i].timestamp,
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bars[i - 1].timestamp
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);
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ordered = false;
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break;
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}
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}
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if ordered {
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println!("✅ All bars properly ordered across {} days", day_stats.len());
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}
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// 6. Calculate daily returns
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println!("\n=== Daily Returns ===");
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for (day, bars_for_day) in day_stats.iter() {
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if bars_for_day.len() > 1 {
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let first_close = bars_for_day.first().unwrap().close;
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let last_close = bars_for_day.last().unwrap().close;
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let return_pct =
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((last_close - first_close) / first_close * rust_decimal::Decimal::from(100))
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.to_string()
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.parse::<f64>()
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.unwrap();
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println!("{}: {:.2}% return", day, return_pct);
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}
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}
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println!("\n✅ Example completed successfully!");
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Ok(())
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}
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198
docs/examples/dbn_statistical_analysis.rs
Normal file
198
docs/examples/dbn_statistical_analysis.rs
Normal file
@@ -0,0 +1,198 @@
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//! DBN Statistical Analysis Example
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//!
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//! This example demonstrates advanced statistical analysis and data transformation
|
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//! features of the DBN repository.
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//!
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//! ## Usage
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//!
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//! ```bash
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//! cargo run --example dbn_statistical_analysis
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//! ```
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use backtesting_service::dbn_repository::DbnMarketDataRepository;
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use std::collections::HashMap;
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#[tokio::main]
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async fn main() -> anyhow::Result<()> {
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println!("=== DBN Statistical Analysis Example ===\n");
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|
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// 1. Setup repository
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let mut file_mapping = HashMap::new();
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file_mapping.insert(
|
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"ES.FUT".to_string(),
|
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"test_data/real/databento/ES.FUT_ohlcv-1m_2024-01-02.dbn".to_string(),
|
||||
);
|
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|
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let repo = DbnMarketDataRepository::new(file_mapping).await?;
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// 2. Load all data
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println!("Loading data...");
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let symbols = vec!["ES.FUT".to_string()];
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let start_time = 1704153600_000_000_000i64; // 2024-01-02 00:00:00
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let end_time = 1704240000_000_000_000i64; // 2024-01-03 00:00:00
|
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|
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let bars = repo.load_historical_data(&symbols, start_time, end_time).await?;
|
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println!("✅ Loaded {} bars\n", bars.len());
|
||||
|
||||
// 3. Summary Statistics
|
||||
println!("=== Summary Statistics ===");
|
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let stats = repo.generate_summary_stats(&bars);
|
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|
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println!("Count: {}", stats.get("count").unwrap());
|
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println!("Mean Close: ${:.2}", stats.get("mean_close").unwrap());
|
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println!("Std Close: ${:.2}", stats.get("std_close").unwrap());
|
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println!("Min Close: ${:.2}", stats.get("min_close").unwrap());
|
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println!("Max Close: ${:.2}", stats.get("max_close").unwrap());
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println!("Mean Volume: {:.0}", stats.get("mean_volume").unwrap());
|
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println!("Total Volume: {:.0}", stats.get("total_volume").unwrap());
|
||||
|
||||
// 4. Rolling Window Statistics
|
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println!("\n=== Rolling 20-Bar Window Statistics ===");
|
||||
let window_size = 20;
|
||||
let rolling_stats = repo.calculate_rolling_stats(&bars, window_size);
|
||||
|
||||
println!("Window size: {} bars", window_size);
|
||||
println!("Windows calculated: {}", rolling_stats.len());
|
||||
|
||||
// Display last 5 windows
|
||||
println!("\nLast 5 windows:");
|
||||
for (i, (mean, std, min, max)) in rolling_stats.iter().rev().take(5).enumerate() {
|
||||
println!(
|
||||
" Window {}: mean=${:.2}, std=${:.2}, range=[${:.2}, ${:.2}]",
|
||||
rolling_stats.len() - i,
|
||||
mean,
|
||||
std,
|
||||
min,
|
||||
max
|
||||
);
|
||||
}
|
||||
|
||||
// 5. Bar Resampling
|
||||
println!("\n=== Bar Resampling ===");
|
||||
|
||||
// Resample to different timeframes
|
||||
for target_minutes in [5, 15, 60] {
|
||||
let resampled = repo.resample_bars(&bars, target_minutes)?;
|
||||
let reduction = (1.0 - (resampled.len() as f64 / bars.len() as f64)) * 100.0;
|
||||
|
||||
println!(
|
||||
"{:>2}-minute bars: {:>3} bars ({:.1}% reduction)",
|
||||
target_minutes,
|
||||
resampled.len(),
|
||||
reduction
|
||||
);
|
||||
|
||||
// Show first resampled bar
|
||||
if let Some(first) = resampled.first() {
|
||||
println!(
|
||||
" First: {} @ {} | O={} H={} L={} C={} V={}",
|
||||
first.symbol,
|
||||
first.timestamp.format("%H:%M"),
|
||||
first.open,
|
||||
first.high,
|
||||
first.low,
|
||||
first.close,
|
||||
first.volume
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
// 6. Regime Detection (Simple Heuristic)
|
||||
println!("\n=== Regime Detection ===");
|
||||
|
||||
let regime_types = ["trending", "ranging", "volatile", "stable"];
|
||||
for regime_type in regime_types.iter() {
|
||||
match repo.load_regime_samples(regime_type, 5, &symbols).await {
|
||||
Ok(samples) => {
|
||||
println!("{:<10} regime: {} sample bars found", regime_type, samples.len());
|
||||
|
||||
if !samples.is_empty() {
|
||||
let sample = &samples[0];
|
||||
let range = sample.high - sample.low;
|
||||
let avg_price = (sample.high + sample.low) / rust_decimal::Decimal::from(2);
|
||||
let range_pct = (range / avg_price * rust_decimal::Decimal::from(10000))
|
||||
.to_string()
|
||||
.parse::<f64>()
|
||||
.unwrap()
|
||||
/ 100.0;
|
||||
|
||||
println!(" Example: {} @ {} (range: {:.2}%)", sample.symbol, sample.timestamp, range_pct);
|
||||
}
|
||||
}
|
||||
Err(e) => {
|
||||
println!("{:<10} regime: Error - {}", regime_type, e);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// 7. Price Return Analysis
|
||||
println!("\n=== Price Return Analysis ===");
|
||||
|
||||
let mut returns: Vec<f64> = Vec::new();
|
||||
for i in 1..bars.len() {
|
||||
let prev_close = bars[i - 1].close.to_string().parse::<f64>().unwrap();
|
||||
let curr_close = bars[i].close.to_string().parse::<f64>().unwrap();
|
||||
let ret = (curr_close - prev_close) / prev_close;
|
||||
returns.push(ret);
|
||||
}
|
||||
|
||||
let mean_return = returns.iter().sum::<f64>() / returns.len() as f64;
|
||||
let variance = returns
|
||||
.iter()
|
||||
.map(|r| (r - mean_return).powi(2))
|
||||
.sum::<f64>()
|
||||
/ returns.len() as f64;
|
||||
let std_dev = variance.sqrt();
|
||||
|
||||
println!("Mean return: {:.6} ({:.4}%)", mean_return, mean_return * 100.0);
|
||||
println!("Std dev: {:.6} ({:.4}%)", std_dev, std_dev * 100.0);
|
||||
println!(
|
||||
"Min return: {:.6} ({:.4}%)",
|
||||
returns.iter().cloned().fold(f64::INFINITY, f64::min),
|
||||
returns.iter().cloned().fold(f64::INFINITY, f64::min) * 100.0
|
||||
);
|
||||
println!(
|
||||
"Max return: {:.6} ({:.4}%)",
|
||||
returns.iter().cloned().fold(f64::NEG_INFINITY, f64::max),
|
||||
returns.iter().cloned().fold(f64::NEG_INFINITY, f64::max) * 100.0
|
||||
);
|
||||
|
||||
// Sharpe ratio (annualized, assuming 252 trading days)
|
||||
let sharpe = (mean_return / std_dev) * (252.0 * 390.0_f64).sqrt(); // 390 bars per day
|
||||
println!("Sharpe ratio: {:.2}", sharpe);
|
||||
|
||||
// 8. Volume Analysis
|
||||
println!("\n=== Volume Analysis ===");
|
||||
|
||||
let volumes: Vec<f64> = bars
|
||||
.iter()
|
||||
.map(|b| b.volume.to_string().parse().unwrap())
|
||||
.collect();
|
||||
|
||||
let mean_volume = volumes.iter().sum::<f64>() / volumes.len() as f64;
|
||||
let max_volume = volumes.iter().cloned().fold(f64::NEG_INFINITY, f64::max);
|
||||
let min_volume = volumes.iter().cloned().fold(f64::INFINITY, f64::min);
|
||||
|
||||
println!("Mean volume: {:.0}", mean_volume);
|
||||
println!("Max volume: {:.0}", max_volume);
|
||||
println!("Min volume: {:.0}", min_volume);
|
||||
|
||||
// Find high-volume bars
|
||||
let high_volume_threshold = mean_volume * 2.0;
|
||||
let high_volume_bars: Vec<_> = bars
|
||||
.iter()
|
||||
.filter(|b| b.volume.to_string().parse::<f64>().unwrap() > high_volume_threshold)
|
||||
.collect();
|
||||
|
||||
println!("\nHigh-volume bars (>2x mean): {}", high_volume_bars.len());
|
||||
for bar in high_volume_bars.iter().take(3) {
|
||||
println!(
|
||||
" {} @ {} | Volume: {}",
|
||||
bar.symbol, bar.timestamp, bar.volume
|
||||
);
|
||||
}
|
||||
|
||||
println!("\n✅ Example completed successfully!");
|
||||
|
||||
Ok(())
|
||||
}
|
||||
Reference in New Issue
Block a user