Handle multiple record types

Overview

In this example we will use the Live client to process order book data using a callback function. We will use Python's functools.singledispatch to make handling different record types easier.

MBO schema

We will use the MBO schema in this example but any schema's records can be dispatched this way.

Example

PythonC++Rust
  
from functools import singledispatch import databento as db # First, we will create our callback function using singledispatch @singledispatch def dbn_handler(_: db.DBNRecord): pass @dbn_handler.register def _(sym: db.SymbolMappingMsg): instrument_id = sym.instrument_id symbol = sym.stype_in_symbol print(f"{symbol} has an instrument ID of {instrument_id}") @dbn_handler.register def _(mbo: db.MBOMsg): order_id = f"{mbo.order_id:13d}" side = mbo.side size = mbo.size price = f"${mbo.pretty_price:,.06f}" print(order_id, side, size, price, sep="\t") @dbn_handler.register def _(sys: db.SystemMsg): print(f"{sys.msg}") @dbn_handler.register def _(error: db.ErrorMsg): print(f"ERROR: {error.err}") # Then, create a live client and connect live_client = db.Live(key="$YOUR_API_KEY") # Next, we will subscribe to the MBO schema live_client.subscribe( dataset="GLBX.MDP3", schema="mbo", stype_in="continuous", symbols="ZN.c.0", ) # Now, add our callback function and start the streaming session live_client.add_callback(dbn_handler) live_client.start() # Finally, we will wait for 5 seconds before closing the connection live_client.block_for_close(timeout=5) 

Result

PythonC++Rust
  
Subscription request 1 for mbo data succeeded ZN.c.0 has an instrument ID of 42066706 8416556628429A4$112.062500 8416556628472A3$112.046875 8416556625196B1$112.046875 8416556625202B1$112.046875 8416556625204B1$112.046875 8416556625196B1$112.046875 8416556625202B1$112.046875 8416556625204B1$112.046875 8416556628476A1$112.062500 8416556628477A1$112.062500 8416556628479A1$112.062500 8416556628482A1$112.125000 8416556628483A1$112.125000 8416556628484B1$112.046875 8416556628128B5$112.046875 8416556628379B4$112.046875 ... 