Datasets
Databento
Introduction
Databento was founded by Christina Qi in 2019 with the goal to simplify and modernize access to institutional-grade market data. Databento provides real-time and historical Equity, Options, Futures, and other financial market data through a self-service, pay-as-you-go model for business and educational purposes.
The Databento data provider serves asset prices from Databento. Instead of using the data from QuantConnect or your brokerage, you can use data from Databento if you're deploying a live algorithm and have an API key. To get an API key, see the API Keys page on the Databento website. This page explains our integration with Databento and its functionality.
To view the implementation of the Databento integration, see the Lean.DataSource.Databento repository.
QuantConnect Cloud currently only supported streaming Databento data during live trading. To download Databento for backtesting, research, and optimizations, use the CLI.
Supported Datasets
To supplement the asset price data from Databento, QuantConnect Cloud provides the following auxiliary datasets from the Dataset Market:
- US Futures Security Master
- US Futures Universe
- Universe selection datasets
- Non-streaming alternative datasets
Universe Selection
When you trade live on QuantConnect Cloud with the Databento data provider, QuantConnect provides the universe selection data.
Live Trading
You must have an available live trading node for each live trading algorithm you deploy.
Follow these steps to deploy a live trading algorithm that uses the Databento data provider:
- Open the project that you want to deploy.
- Click the
Deploy Live icon. - On the Deploy Live page, click the Brokerage field and then click your brokerage from the drop-down menu.
- Enter the required brokerage authentication information.
- In the Data Provider section of the deployment wizard, click .
- Click the Data Provider 1 field and then click from the drop-down menu.
- Enter your Databento API Key.
- Click .
- (Optional) If your brokerage supports exisiting cash and position holdings, add them.
- (Optional) Set up notifications.
- Configure the Automatically restart algorithm setting.
- Click .
For more information about the required information for each brokerage, see the Deploy Live Algorithms section of your brokerage documentation.
By enabling automatic restarts, the algorithm will use best efforts to restart the algorithm if it fails due to a runtime error. This can help improve the algorithm's resilience to temporary outages such as a brokerage API disconnection.
Mutiple Data Providers
When you deploy a live algorithm, you can add multiple data providers. If you use multiple data providers, the order you select them in defines their order of precedence in Lean. For example, if you set Databento as the first provider and QuantConnect as the second provider, Lean only uses the QuantConnect data provider for securities that aren't available from the Databento data provider. This configuration makes it possible to use Databento for Futures and QuantConnect data provider for Equity.
Historical Data
The historical data that's available from the Databento data provider for history requests and warm-up periods depends on your Databento API package.
Pricing
To view the prices of the Databento API packages, see the Pricing page on the Databento website.
You can also see our Videos. You can also get in touch with us via Discord.
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