Stream live data to a file

Overview

In this example we will use the Live client to save live data to a file using an output stream. We will then open this file as a DBNStore. This allows for live data to be archived for replay and testing purposes.

Databento Binary Encoding (DBN)

The binary data will be written to the stream in the DBN format. This is a zero-copy format that is extremely fast and efficient on bandwidth. The easiest way to read data encoded in DBN is through our client libraries or the dbn-cli tool.

Example

PythonC++Rust
  
import databento as db # First, create a live client and connect live_client = db.Live(key="$YOUR_API_KEY") # Next, we will subscribe to the OHLCV-1s schema for a few symbols live_client.subscribe( dataset="GLBX.MDP3", schema="ohlcv-1s", stype_in="continuous", symbols=["ES.c.0", "ES.c.1", "CL.c.0", "CL.c.1"], ) # Now, we will open a file for writing and start streaming live_client.add_stream("example.dbn") live_client.start() # We will listen for 10 seconds before closing the connection # Any ohlcv-1s bars received during this time will be saved live_client.block_for_close(timeout=10) # Finally, we will open the DBN file dbn_store = db.DBNStore.from_file("example.dbn") print(dbn_store.to_df(schema="ohlcv-1s")) 

Result

PythonC++Rust
  
 rtype publisher_id instrument_id open high low close volume symbol ts_event 2023-12-18 14:40:19+00:00 32 1 17077 4785.75 4785.75 4785.75 4785.75 143 ESH4 2023-12-18 14:40:19+00:00 32 1 686071 74.19 74.19 74.19 74.19 6 CLG4 2023-12-18 14:40:20+00:00 32 1 17077 4785.75 4785.75 4785.50 4785.75 8 ESH4 2023-12-18 14:40:20+00:00 32 1 686071 74.19 74.20 74.19 74.20 6 CLG4 2023-12-18 14:40:21+00:00 32 1 17077 4785.75 4785.75 4785.75 4785.75 105 ESH4 2023-12-18 14:40:21+00:00 32 1 686071 74.20 74.21 74.20 74.21 8 CLG4 