e8a68ee39f
- 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
88 lines
2.5 KiB
Python
88 lines
2.5 KiB
Python
#!/usr/bin/env python3
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"""
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Search for Euro FX futures symbols using Databento symbology API.
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"""
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import os
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import databento as db
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import sys
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def main():
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# Check for API key
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api_key = os.environ.get("DATABENTO_API_KEY")
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if not api_key:
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print("ERROR: DATABENTO_API_KEY environment variable not set")
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sys.exit(1)
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# Create client
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client = db.Historical(api_key)
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print("=" * 70)
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print("Searching for Euro FX symbols in GLBX.MDP3")
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print("=" * 70)
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dataset = "GLBX.MDP3"
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start_date = "2024-01-02"
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end_date = "2024-01-31"
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# Try different symbol patterns for Euro FX
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# Based on Databento documentation, CME symbols may need parent symbol format
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test_patterns = [
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# Standard CME format
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"6E",
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"6E.FUT",
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"E7", # E-mini EUR/USD
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# Try with exchange prefix
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"CME:6E",
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"CME:6EH24",
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# Try continuous contract notation
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"6E.n.0", # Continuous front month
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# Try Databento instrument ID format
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"EUR",
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"EURUSD",
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]
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print("\nTesting symbol patterns:\n")
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for symbol in test_patterns:
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print(f"Testing: {symbol:20s} ... ", end="", flush=True)
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try:
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# Use symbology.resolve to check if symbol exists
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result = client.symbology.resolve(
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dataset=dataset,
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symbols=[symbol],
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stype_in="native",
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stype_out="instrument_id",
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start_date=start_date,
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end_date=end_date
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)
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if result:
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print(f"✅ FOUND!")
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print(f" Resolved to: {result}")
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else:
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print("❌ Not found")
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except Exception as e:
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error_msg = str(e)[:80]
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print(f"❌ Error: {error_msg}")
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print()
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print("=" * 70)
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print("Additional Information")
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print("=" * 70)
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print("CME Euro FX Futures (6E) symbology:")
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print(" - Root symbol: 6E")
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print(" - Contract months: H(Mar), M(Jun), U(Sep), Z(Dec)")
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print(" - Full format: 6EH24 (March 2024)")
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print()
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print("If none of the above work, the data may require:")
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print(" 1. Different dataset (not GLBX.MDP3)")
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print(" 2. Subscription upgrade for CME data")
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print(" 3. Different time period when data is available")
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print()
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print("Recommendation: Check Databento's symbology documentation")
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print(" https://databento.com/docs/symbology")
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if __name__ == "__main__":
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main()
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