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
113 lines
2.9 KiB
Rust
113 lines
2.9 KiB
Rust
//! 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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