foxhunt/test_data/real/databento

Databento Gold Futures Data Download

Summary

Successfully downloaded 30 days of Gold Futures (GC) OHLCV-1m data from Databento.

Download Details

• Date Range: 2024-01-02 to 2024-01-31 (30 calendar days)
• Symbol: GC.c.0 (continuous front-month contract)
• Dataset: GLBX.MDP3
• Schema: ohlcv-1m (1-minute OHLCV bars)
• Cost: $0.00 (free data)
• Output File: GC_continuous_ohlcv-1m_2024-01-02_to_2024-01-31.dbn
• File Size: 11 KB (11,138 bytes)
• Record Count: 781 bars

Data Characteristics

Coverage

• Actual date range in data: 2024-01-02 08:19:00 UTC to 2024-01-30 23:35:00 UTC
• Trading days covered: 29 days
• Average bars per day: 39 (varies from 2 to 675)

Trading Hours

Gold futures trade primarily during CME hours. The data shows activity concentrated around:

• Most active: 14:00-16:00 UTC (~67-71 bars/hour)
• Moderate activity: 11:00-18:00 UTC
• Limited activity: 19:00-08:00 UTC

Price Statistics

• Price range: $2,005.30 - $2,073.70
• Average close: $2,033.90 ± $6.46
• Max single-bar return: 0.79%
• Min single-bar return: -1.42%
• Volatility (std dev): 0.126%

Volume Statistics

• Average volume: 6 contracts
• Median volume: 2 contracts
• Max volume: 114 contracts
• Zero volume bars: 0 (0%)

Data Quality

✅ Passed all quality checks:

• No missing OHLC values (1 missing value total, likely metadata)
• No duplicate timestamps
• Consistent OHLC relationships (High ≥ Open/Close, Low ≤ Open/Close)
• No price spikes exceeding 20% threshold (max change: 1.42%)
• All volume bars have positive or zero volume

Technical Notes

Symbology Issues

Attempted to download parent symbol GC.FUT and specific contract months (GCG24, GCH24, etc.) but encountered symbology errors:

422 symbology_invalid_request
None of the symbols could be resolved

Only the continuous contract GC.c.0 (front-month) resolved successfully.

Data Sparsity

The dataset has relatively sparse coverage (781 bars over 30 days, average ~26 bars/day). This is likely due to:

1. Limited trading hours for gold futures
2. Using free/sample tier data
3. OHLCV-1m aggregation only including bars with activity

January 30th had significantly more data (675 bars) compared to other days (2-19 bars), suggesting variable data availability or increased trading activity on that day.

Usage

Loading in Python (databento)

import databento as db

# Load from file
store = db.DBNStore.from_file('GC_continuous_ohlcv-1m_2024-01-02_to_2024-01-31.dbn')

# Convert to DataFrame
df = store.to_df()
print(f"Loaded {len(df)} bars")

# Access OHLCV data
print(df[['open', 'high', 'low', 'close', 'volume']].head())

Loading in Rust (databento-dbn crate)

use databento_dbn::{decode::DbnDecoder, DBNStore};

// Load DBN file
let file = std::fs::File::open("GC_continuous_ohlcv-1m_2024-01-02_to_2024-01-31.dbn")?;
let mut decoder = DbnDecoder::new(file)?;

// Iterate over records
for record in decoder {
    let record = record?;
    // Process OHLCV bar
}

Cost Tracking

Item	Cost
Data download (30 days, OHLCV-1m)	$0.00
Total	$0.00

The data was free, likely due to:

• Using continuous contract symbology
• Free tier / sample data
• Limited historical depth (only 30 days)

Recommendations

For production use:

1. Consider subscribing to paid tier for denser data coverage
2. Explore specific contract months if symbology issues are resolved
3. Verify trading hours align with strategy requirements
4. Test with longer date ranges to assess data quality consistency

Files

test_data/real/databento/
├── GC_continuous_ohlcv-1m_2024-01-02_to_2024-01-31.dbn  # 11 KB, 781 bars
└── README.md  # This file

Download Scripts

The following Python scripts were used for this download:

• download_gc_timeseries.py - Main download script (successful)
• analyze_gc_data.py - Data quality analysis
• check_gc_symbols.py - Symbology debugging
• download_gc_specific_contract.py - Attempted specific contracts

All scripts are located in the project root directory.

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Date: 2025-10-13 Downloaded by: Databento Python SDK v0.64.0 API Key: db-95LEt...uf6 (masked)