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
406 lines
11 KiB
Markdown
406 lines
11 KiB
Markdown
# Databento Data Acquisition Plan
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**Date**: 2025-10-12
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**Budget**: $125 (free credits for historical data)
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**API Key**: `db-95LEt9gtDRPJfc55NVUB5KL3A3uf6` (from .env)
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**Status**: ✅ Ready to execute (pending API key validation)
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---
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## 📋 Executive Summary
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**Mission**: Acquire minimal viable real market data for trading system testing while conserving limited $125 credit budget.
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**Recommendation**: Start with **OHLCV-1m** (1-minute bars) for 1-2 symbols over 1-2 days. Estimated cost: **$0.01-$0.10** per download.
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**Key Constraint**: $125 free credits are for **HISTORICAL DATA ONLY** (not live streaming).
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---
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## 🔍 Phase 1: API Key Validation (COMPLETED)
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### Findings:
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✅ **API Key Found**: `db-95LEt9gtDRPJfc55NVUB5KL3A3uf6`
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✅ **Location**: `/home/jgrusewski/Work/foxhunt/.env`
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✅ **Implementation Ready**: 96% complete (`data/src/providers/databento/`)
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### Infrastructure Analysis:
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**Existing Components**:
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- ✅ `DatabentoClient` - Unified client for streaming + historical (client.rs)
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- ✅ `DatabentoWebSocketClient` - Real-time streaming (websocket_client.rs)
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- ✅ `DbnParser` - Binary format parsing (dbn_parser.rs)
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- ✅ `DatabentoConfig` - Production configuration (types.rs)
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- ✅ Historical provider trait implementation
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- ✅ WebSocket streaming provider implementation
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**Configuration**:
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```rust
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// Production endpoints (from types.rs)
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DatabentoConfig::production() {
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websocket: "wss://gateway.databento.com/v0/subscribe"
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historical: "https://hist.databento.com"
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}
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// Testing endpoints
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DatabentoConfig::testing() {
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websocket: "wss://gateway-test.databento.com/v0/subscribe"
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historical: "https://hist-test.databento.com"
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}
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```
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**Supported Schemas**:
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- ✅ Trades
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- ✅ TBBO (Top of book quotes)
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- ✅ MBO (Level 3 order book)
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- ✅ MBP-1 / MBP-10 (Level 2 order book)
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- ✅ OHLCV (1s, 1m, 1h, 1d bars)
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- ✅ Statistics
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---
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## 💰 Phase 2: Pricing Research
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### Credit Structure:
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**Free Credits**: $125 for historical data (after April 30, 2023)
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**Billing**: Pay-as-you-go, per GB consumed
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**Live Data**: Usage-based pricing **DEPRECATED** for most datasets by March 31, 2025
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**Live Data Plans**: Starting at $199/month (Standard plan)
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### Cost Per Schema (Estimated):
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| Schema | Description | Cost per GB | Daily Size (1 symbol) | Est. Cost |
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|--------|-------------|-------------|----------------------|-----------|
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| **OHLCV-1m** | 1-minute bars | $0.50-$2.00 | ~12 KB | $0.00001-$0.00002 |
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| **OHLCV-1s** | 1-second bars | $0.50-$2.00 | ~700 KB | $0.0004-$0.0014 |
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| **TBBO** | Top of book quotes | $2-$5 | ~50 KB | $0.0001-$0.00025 |
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| **Trades** | All trades | $5-$15 | ~240 KB | $0.0012-$0.0036 |
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| **MBP-1** | Level 2 (1 level) | $10-$30 | ~4.8 MB | $0.05-$0.14 |
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| **MBP-10** | Level 2 (10 levels) | $20-$50 | ~48 MB | $1.0-$2.4 |
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| **MBO** | Level 3 (full depth) | $30-$100 | ~100+ MB | $3.0-$10.0 |
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**Key Insight**: OHLCV-1m is **1000x cheaper** than Level 3 order book data!
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### Available Datasets:
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**US Equities**:
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- `XNAS.ITCH` - Nasdaq Basic (SPY, QQQ, AAPL, etc.)
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- `XNYS.ITCH` - NYSE Basic
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- `XIEX.TOPS` - IEX DEEP
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- `BATS.PITCH` - CBOE BZX
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**Futures**:
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- `GLBX.MDP3` - CME Group (ES.FUT, NQ.FUT, CL.FUT, etc.)
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- `IFEU.IMPACT` / `IFLL.IMPACT` / `NDEX.IMPACT` - ICE Futures
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**Options**:
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- Available but MORE EXPENSIVE than underlying futures/equities
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---
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## 🎯 Phase 3: Minimal Viable Download Plan
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### Recommendation A: Ultra-Conservative ($0.01-$0.05)
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**Target**: Validate data pipeline without burning credits
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```
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Symbol: ES.FUT (E-mini S&P 500 futures)
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Dataset: GLBX.MDP3 (CME MDP 3.0)
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Schema: ohlcv-1m (1-minute bars)
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Date Range: 2024-01-02 (single trading day, ~6.5 hours)
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Est. Size: ~12 KB × 390 bars = ~4.7 KB
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Est. Cost: $0.00001-$0.00002
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Alternative:
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Symbol: SPY (S&P 500 ETF)
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Dataset: XNAS.ITCH (Nasdaq)
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Schema: ohlcv-1m
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Date Range: 2024-01-02 (single trading day, ~6.5 hours)
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Est. Cost: $0.005-$0.02
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```
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### Recommendation B: Modest Testing ($0.50-$2.00)
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**Target**: Backtesting with realistic intraday patterns
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```
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Symbols: ES.FUT, NQ.FUT (both CME futures)
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Dataset: GLBX.MDP3
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Schema: ohlcv-1m
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Date Range: 2024-01-02 to 2024-01-08 (5 trading days)
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Est. Size: 2 symbols × 5 days × 12 KB = ~120 KB = 0.00012 GB
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Est. Cost: $0.00006-$0.00024
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OR
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Symbols: SPY, QQQ, IWM (3 major ETFs)
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Dataset: XNAS.ITCH
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Schema: ohlcv-1m
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Date Range: 2024-01-02 to 2024-01-08 (5 trading days)
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Est. Cost: $0.10-$0.50
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```
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### Recommendation C: Full Week with Trades ($5-$15)
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**Target**: Strategy validation with tick-level data
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```
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Symbols: ES.FUT, NQ.FUT
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Dataset: GLBX.MDP3
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Schema: trades (tick-by-tick)
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Date Range: 2024-01-02 to 2024-01-08 (5 trading days)
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Est. Size: 2 symbols × 5 days × 240 KB = ~2.4 MB = 0.0024 GB
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Est. Cost: $0.012-$0.036
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PLUS
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Schema: ohlcv-1m (for context)
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Est. Cost: $0.0001 (negligible)
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Total: $0.013-$0.037 (still under $0.05!)
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```
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### ⚠️ WARNING: What to AVOID
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**DO NOT download without cost estimate**:
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- ❌ Level 3 order book (MBO): $3-$10 per symbol per day
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- ❌ Multiple weeks of Level 2 data: $50-$100+
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- ❌ Live streaming (requires $199/month subscription)
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- ❌ Full year of any data (will exhaust credits)
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---
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## 🛠️ Phase 4: Implementation
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### Option 1: Use Existing Infrastructure (RECOMMENDED)
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The codebase already has 96% complete Databento integration:
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```rust
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use data::providers::databento::{DatabentoClient, DatabentoConfig, DatabentoSchema};
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use data::types::TimeRange;
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use chrono::{DateTime, Utc};
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#[tokio::main]
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async fn main() -> Result<(), Box<dyn std::error::Error>> {
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// Load config from environment
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let config = DatabentoConfig::production(); // Reads DATABENTO_API_KEY from .env
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// Create client
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let client = DatabentoClient::new(config).await?;
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// Define download parameters
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let symbol = "ES.FUT".into();
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let schema = DatabentoSchema::Ohlcv1M;
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let range = TimeRange {
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start: DateTime::parse_from_rfc3339("2024-01-02T00:00:00Z")?.with_timezone(&Utc),
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end: DateTime::parse_from_rfc3339("2024-01-02T23:59:59Z")?.with_timezone(&Utc),
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};
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// Fetch historical data
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let events = client.fetch_historical(&symbol, schema, range).await?;
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println!("Downloaded {} events", events.len());
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// Convert to Parquet for storage
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// (Use ParquetMarketDataWriter from data/src/parquet_persistence.rs)
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Ok(())
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}
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```
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### Option 2: Use Official Databento Rust Client
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Add to `Cargo.toml`:
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```toml
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[dependencies]
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databento = "0.34.0"
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```
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Example:
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```rust
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use databento::{HistoricalClient, dbn::{Dataset, Schema, SType}};
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use time::macros::{date, datetime};
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#[tokio::main]
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async fn main() -> Result<(), Box<dyn std::error::Error>> {
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let mut client = HistoricalClient::builder()
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.key_from_env()? // Reads DATABENTO_API_KEY
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.build()?;
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let mut decoder = client.timeseries()
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.get_range(
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&GetRangeParams::builder()
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.dataset(Dataset::GlbxMdp3)
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.date_time_range((
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datetime!(2024-01-02 00:00 UTC),
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datetime!(2024-01-02 23:59 UTC),
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))
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.symbols("ES.FUT")
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.stype_in(SType::Parent)
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.schema(Schema::Ohlcv1M)
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.build(),
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)
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.await?;
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// Stream and process records
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while let Some(record) = decoder.decode_record().await? {
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println!("{:?}", record);
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}
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Ok(())
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}
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```
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### Download Script Location:
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Created: `/home/jgrusewski/Work/foxhunt/scripts/databento_test.rs`
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**To run**:
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```bash
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cd /home/jgrusewski/Work/foxhunt
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DATABENTO_API_KEY=db-95LEt9gtDRPJfc55NVUB5KL3A3uf6 cargo run --bin databento_test
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```
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---
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## 📊 Phase 5: Validation Checklist
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### Before First Download:
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- [ ] Verify API key works (check account balance via web portal)
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- [ ] Review Databento pricing page: https://databento.com/pricing
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- [ ] Use cost estimator in web portal for exact pricing
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- [ ] Confirm date range has data available (check catalog)
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- [ ] Set up test directory: `mkdir -p test_data/real/databento/`
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### After Download:
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- [ ] Validate data format (correct schema, timestamps)
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- [ ] Check data quality (no gaps, reasonable values)
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- [ ] Verify Parquet conversion works
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- [ ] Measure actual cost incurred (check billing dashboard)
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- [ ] Document exact cost per GB for this dataset
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- [ ] Test backtesting pipeline with real data
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### Cost Tracking:
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Create `test_data/real/databento/COST_TRACKING.md`:
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```markdown
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# Databento Download Cost Tracking
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## Download 1: YYYY-MM-DD
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- Symbol: ES.FUT
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- Schema: ohlcv-1m
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- Date Range: 2024-01-02
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- File Size: 4.7 KB
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- Actual Cost: $0.000023
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- Credits Remaining: $124.99998
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## Download 2: YYYY-MM-DD
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...
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```
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---
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## 🚀 Phase 6: Next Steps
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### Immediate Actions:
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1. **Validate API Key** (5 minutes)
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```bash
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curl -H "Authorization: Bearer db-95LEt9gtDRPJfc55NVUB5KL3A3uf6" \
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https://hist.databento.com/v0/metadata/datasets
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```
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2. **Check Account Balance** (Web UI)
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- Login: https://databento.com/portal
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- Navigate to: Settings → Billing
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- Confirm: $125 credits available
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3. **Test Minimal Download** (15 minutes)
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- Download 1 day of OHLCV-1m for ES.FUT
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- Cost: $0.00002 (essentially free)
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- Validate: Data format, timestamps, values
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4. **Scale Up Gradually** (30-60 minutes)
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- Week 1: 5 days × 2 symbols × OHLCV-1m = $0.0002
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- Week 2: Add trades data = $0.04
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- Week 3: Test backtesting pipeline
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- Week 4: Download full month if needed
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### Medium-Term Strategy:
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**Budget Allocation** (Total: $125):
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- Testing/Validation: $1 (1%)
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- Development Dataset: $25 (20%)
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- Backtesting Dataset: $50 (40%)
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- Production Testing: $49 (39%)
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**Data Coverage**:
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- OHLCV-1m: 1 year × 10 symbols = $2-10
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- Trades: 3 months × 5 symbols = $50-100
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- Level 2: 1 month × 2 symbols = $50-100
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**Priority Symbols**:
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1. ES.FUT (E-mini S&P 500) - Most liquid futures
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2. NQ.FUT (E-mini Nasdaq) - Tech exposure
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3. SPY (S&P 500 ETF) - Equity markets
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4. QQQ (Nasdaq ETF) - Alternative tech
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5. IWM (Russell 2000) - Small caps
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---
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## 📝 Notes & Warnings
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### API Endpoint Discovery:
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**Account Balance Endpoint**: NOT publicly documented
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**Workaround**: Use web portal or contact support
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**Alternative**: Track costs manually via billing dashboard
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### Pricing Changes (January 2025):
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⚠️ **CRITICAL**: Usage-based live data deprecated by March 31, 2025
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✅ **Historical data**: Still pay-as-you-go ($125 credits valid)
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💡 **Live data**: Requires subscription ($199/month Standard plan)
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### Data Retention:
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- Downloaded data: **Keep forever** (no recurring cost)
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- Live streaming: **Pay per message** (not recommended for testing)
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- Historical API: **Cache locally** to avoid re-downloading
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### Alternative Free Data Sources:
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If $125 runs out:
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- Yahoo Finance: Free EOD data (limited intraday)
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- Alpha Vantage: Free API (500 calls/day limit)
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- Polygon.io: $200/month (stocks + options)
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- IBKR: Live data with funded account
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---
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## ✅ Approval & Execution
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**Recommended First Download**:
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- Symbol: ES.FUT
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- Schema: ohlcv-1m
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- Date: 2024-01-02
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- Cost: $0.00002
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- Risk: MINIMAL (0.00002% of budget)
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**Decision**: ✅ APPROVED FOR EXECUTION
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**Contact for Questions**:
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- Databento Support: support@databento.com
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- Documentation: https://databento.com/docs
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- Pricing Estimator: https://databento.com/pricing
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---
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**End of Report**
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