Add support for bbo quotes in Databento adapter #1990
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cjdsellers
approved these changes
Oct 7, 2024
cjdsellers
changed the title
cjdsellers
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Thanks I've been eagerly waiting for this data type, this has given me time to learn and contribute to nautilus, which is quite important. There's only one trick to know to contribute to nautilus: |
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Pull Request
Add support for bbo-1s and bbo-1m sampled quotes in databento adapter
Type of change
How has this change been tested?
usage example on prototype (use bbo-1s or bbo-1m here as schema https://github.com/nautechsystems/nautilus_trader/blob/develop/examples/backtest/databento_option_greeks.py) , added tests
Note sure if something needs to be added for live databento data for this new data type, or how I would subscribe to live databento data from a live node.