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Merged
jaredbroad merged 2 commits into from
Nov 11, 2025
Merged

Improvements. #3

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Improvements.
Joseph-Matteo-Scorsone Nov 6, 2025
4150782
Readme update, contextual log traces in for system health, not debugg…
Joseph-Matteo-Scorsone Nov 7, 2025
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26 changes: 19 additions & 7 deletions Demonstration.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -22,6 +22,7 @@
using QuantConnect.Securities.Future;
using QuantConnect.Util;
using System;
using System.Linq;

namespace QuantConnect.Algorithm.CSharp
{
Expand All @@ -39,7 +40,19 @@ public override void Initialize()

var exp = new DateTime(2025, 12, 19);
var symbol = QuantConnect.Symbol.CreateFuture("ES", Market.CME, exp);
//_es = AddFutureContract(symbol, Resolution.Tick, true, 1, true);
_es = AddFutureContract(symbol, Resolution.Second, true, 1, true);
Log($"_es: {_es}");

var history = History<TradeBar>(_es.Symbol, 10, Resolution.Minute).ToList();

Log($"History returned {history.Count} bars");

foreach (var bar in history)
{
Log($"History Bar: {bar.Time} - O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
}

}

public override void OnData(Slice slice)
Expand All @@ -51,13 +64,13 @@ public override void OnData(Slice slice)
}

Log($"OnData: Slice has {slice.Count} data points");

// For Tick resolution, check Ticks collection
if (slice.Ticks.ContainsKey(_es.Symbol))
{
var ticks = slice.Ticks[_es.Symbol];
Log($"Received {ticks.Count} ticks for {_es.Symbol}");

foreach (var tick in ticks)
{
if (tick.TickType == TickType.Trade)
Expand All @@ -70,12 +83,11 @@ public override void OnData(Slice slice)
}
}
}
// These won't have data for Tick resolution
if (slice.Bars.ContainsKey(_es.Symbol))

// Access OHLCV bars
foreach (var bar in slice.Bars.Values)
{
var bar = slice.Bars[_es.Symbol];
Log($"Bar - O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
Log($"OHLCV BAR: {bar.Symbol.Value} - O: {bar.Open}, H: {bar.High}, L: {bar.Low}, C: {bar.Close}, V: {bar.Volume}");
}
}
}
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28 changes: 0 additions & 28 deletions DemonstrationUniverse.cs
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This file was deleted.

1 change: 0 additions & 1 deletion QuantConnect.DataBento.Tests/QuantConnect.DataSource.DataBento.Tests.csproj
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Original file line number Diff line number Diff line change
Expand Up @@ -5,7 +5,6 @@
</PropertyGroup>
<ItemGroup>
<Compile Include="..\Demonstration.cs" Link="Demonstration.cs" />
<Compile Include="..\DemonstrationUniverse.cs" Link="DemonstrationUniverse.cs" />
</ItemGroup>
<ItemGroup>
<PackageReference Include="protobuf-net" Version="3.1.33" />
Expand Down
12 changes: 4 additions & 8 deletions QuantConnect.DataBento/DataBentoDataDownloader.cs
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Expand Up @@ -33,15 +33,13 @@
namespace QuantConnect.Lean.DataSource.DataBento
{
/// <summary>
/// Data downloader class for pulling data from Data Provider
/// Data downloader for historical data from DataBento's Raw HTTP API
/// Converts DataBento data to Lean data types
/// </summary>
public class DataBentoDataDownloader : IDataDownloader, IDisposable
{
/// <inheritdoc cref="HttpClient"/>
private readonly HttpClient _httpClient;

private readonly string _apiKey;
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@Romazes Romazes Nov 17, 2025

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Please remove.
This field is used only in .ctor.


private const decimal PriceScaleFactor = 1e-9m;
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@Romazes Romazes Nov 17, 2025

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Please add an xml description of the const, such as a link to the documentation.


/// <summary>
Expand Down Expand Up @@ -72,8 +70,6 @@ public IEnumerable<BaseData> Get(DataDownloaderGetParameters parameters)
{
var symbol = parameters.Symbol;
var resolution = parameters.Resolution;
var startUtc = parameters.StartUtc;
var endUtc = parameters.EndUtc;
var tickType = parameters.TickType;

var dataset = "GLBX.MDP3"; // hard coded for now. Later on can add equities and options with different mapping
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@Romazes Romazes Nov 17, 2025

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Do this like const:

  • with XML description;
  • docs link where we can find other possible variants of the dataset.

Expand All @@ -85,8 +81,8 @@ public IEnumerable<BaseData> Get(DataDownloaderGetParameters parameters)
body.Append($"dataset={dataset}");
body.Append($"&symbols={dbSymbol}");
body.Append($"&schema={schema}");
body.Append($"&start={startUtc:yyyy-MM-ddTHH:mm}");
body.Append($"&end={endUtc:yyyy-MM-ddTHH:mm}");
body.Append($"&start={parameters.StartUtc:yyyy-MM-ddTHH:mm}");
body.Append($"&end={parameters.EndUtc:yyyy-MM-ddTHH:mm}");
body.Append("&stype_in=parent");
body.Append("&encoding=csv");

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