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2 changes: 1 addition & 1 deletion nightly/_sources/concepts/data.md.txt
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Expand Up @@ -41,7 +41,7 @@ To achieve this, two main components are necessary:
### Data loaders

Data loader components are typically specific for the raw source/format and per integration. For instance, Binance order book data is stored in its raw CSV file form with
an entirely different format to [Databento Binary Encoding (DBN)](https://docs.databento.com/knowledge-base/new-users/dbn-encoding/getting-started-with-dbn) files.
an entirely different format to [Databento Binary Encoding (DBN)](https://databento.com/docs/knowledge-base/new-users/dbn-encoding/getting-started-with-dbn) files.

### Data wranglers

Expand Down
56 changes: 30 additions & 26 deletions nightly/_sources/integrations/databento.md.txt
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@@ -1,10 +1,10 @@
# Databento

```{warning}
We are currently working on this integration guide - consider it incomplete for now.
We are currently working on this integration guide.
```

NautilusTrader provides an adapter for integrating with the Databento API and [Databento Binary Encoding (DBN)](https://docs.databento.com/knowledge-base/new-users/dbn-encoding) format data.
NautilusTrader provides an adapter for integrating with the Databento API and [Databento Binary Encoding (DBN)](https://databento.com/docs/knowledge-base/new-users/dbn-encoding) format data.
As Databento is purely a market data provider, there is no execution client provided - although a sandbox environment with simulated execution could still be set up.
It's also possible to match Databento data with Interactive Brokers execution, or to calculate traditional asset class signals for crypto trading.

Expand All @@ -17,7 +17,7 @@ The capabilities of this adapter include:
[Databento](https://databento.com/signup) currently offers 125 USD in free data credits (historical data only) for new account sign-ups.

With careful requests, this is more than enough for testing and evaluation purposes.
It's recommended you make use of the [/metadata.get_cost](https://docs.databento.com/api-reference-historical/metadata/metadata-get-cost) endpoint.
It's recommended you make use of the [/metadata.get_cost](https://databento.com/docs/api-reference-historical/metadata/metadata-get-cost) endpoint.
```

## Overview
Expand All @@ -44,13 +44,13 @@ and won't need to necessarily work with these lower level components directly.

## Databento documentation

Databento provides extensive documentation for users which can be found in the [Databento knowledge base](https://docs.databento.com/knowledge-base/new-users).
It's recommended you also refer to the Databento documentation in conjunction with this Nautilus integration guide.
Databento provides extensive documentation for users which can be found in the [Databento knowledge base](https://databento.com/docs/knowledge-base/new-users).
It's recommended you also refer to this Databento documentation in conjunction with this NautilusTrader integration guide.

## Databento Binary Encoding (DBN)

Databento Binary Encoding (DBN) is an extremely fast message encoding and storage format for normalized market data.
The [DBN specification](https://docs.databento.com/knowledge-base/new-users/dbn-encoding) includes a simple, self-describing metadata header and a fixed set of struct definitions,
The [DBN specification](https://databento.com/docs/knowledge-base/new-users/dbn-encoding) includes a simple, self-describing metadata header and a fixed set of struct definitions,
which enforce a standardized way to normalize market data.

The integration provides a decoder which can convert DBN format data to Nautilus objects.
Expand Down Expand Up @@ -91,7 +91,7 @@ The Nautilus decoder will use the Databento `raw_symbol` for the Nautilus `symbo
from the Databento instrument definition message for the Nautilus `venue`.

Databento datasets are identified with a *dataset code* which is not the same
as a venue identifier. You can read more about Databento dataset naming conventions [here](https://docs.databento.com/api-reference-historical/basics/datasets).
as a venue identifier. You can read more about Databento dataset naming conventions [here](https://databento.com/docs/api-reference-historical/basics/datasets).

Of particular note is for CME Globex MDP 3.0 data (`GLBX.MDP3` dataset code), the following
exchanges are all grouped under the `GLBX` venue. These mappings can be determined from the
Expand All @@ -105,7 +105,7 @@ instruments `exchange` field:
- `XNYM` - **New York Mercantile Exchange (NYMEX)**

```{note}
Other venue MICs can be found in the `venue` field of responses from the [metadata.list_publishers](https://docs.databento.com/api-reference-historical/metadata/metadata-list-publishers?historical=http&live=python) endpoint.
Other venue MICs can be found in the `venue` field of responses from the [metadata.list_publishers](https://databento.com/docs/api-reference-historical/metadata/metadata-list-publishers?historical=http&live=python) endpoint.
```

## Timestamps
Expand All @@ -127,33 +127,37 @@ When decoding and normalizing Databento to Nautilus we generally assign the Data

```{note}
See the following Databento docs for further information:
- [Databento standards and conventions - timestamps](https://docs.databento.com/knowledge-base/new-users/standards-conventions/timestamps)
- [Databento timestamping guide](https://docs.databento.com/knowledge-base/data-integrity/timestamping/timestamps-on-databento-and-how-to-use-them)
- [Databento standards and conventions - timestamps](https://databento.com/docs/knowledge-base/new-users/standards-conventions/timestamps)
- [Databento timestamping guide](https://databento.com/docs/knowledge-base/data-integrity/timestamping/timestamps-on-databento-and-how-to-use-them)
```

## Data types

The following section discusses Databento schema -> Nautilus data type equivalence
and considerations.

```{note}
See the Databento [list of fields by schema guide](https://databento.com/docs/knowledge-base/new-users/fields-by-schema).
```

### Instrument definitions

Databento provides a single schema to cover all instrument classes, these are
decoded to the appropriate Nautilus `Instrument` types.

The following Databento instrument classes are supported by NautilusTrader:

| Databento instrument class | Nautilus instrument type |
|----------------------------|------------------------------|
| STOCK | `Equity` |
| FUTURE | `FuturesContract` |
| CALL | `OptionsContract` |
| PUT | `OptionsContract` |
| FUTURESPREAD | `FuturesSpread` |
| OPTIONSPREAD | `OptionsSpread` |
| MIXEDSPREAD | `OptionsSpread` |
| FXSPOT | `CurrencyPair` |
| BOND | Not yet available |
| Databento instrument class | Code | Nautilus instrument type |
|----------------------------|------|------------------------------|
| Stock | `K` | `Equity` |
| Future | `F` | `FuturesContract` |
| Call | `C` | `OptionsContract` |
| Put | `P` | `OptionsContract` |
| Future spread | `S` | `FuturesSpread` |
| Option spread | `T` | `OptionsSpread` |
| Mixed spread | `M` | `OptionsSpread` |
| FX spot | `X` | `CurrencyPair` |
| Bond | `B` | Not yet available |

### MBO (market by order)

Expand All @@ -171,9 +175,9 @@ object, which occurs during the replay startup sequence.

### MBP-1 (market by price, top-of-book)

This schema represents the top-of-book only. Like with MBO messages, some
This schema represents the top-of-book only (quotes *and* trades). Like with MBO messages, some
messages carry trade information, and so when decoding MBP-1 messages Nautilus
will produce a `QuoteTick` and also a `TradeTick` if the message is a trade.
will produce a `QuoteTick` and *also* a `TradeTick` if the message is a trade.

### OHLCV (bar aggregates)

Expand All @@ -183,9 +187,9 @@ The Nautilus decoder will normalize the `ts_event` timestamps to the **close** o

### Imbalance & Statistics

The Databento `imbalance` and `statistics` schemas cannot be represented as a built-in Nautilus data types
The Databento `imbalance` and `statistics` schemas cannot be represented as a built-in Nautilus data types,
and so they have specific types defined in Rust `DatabentoImbalance` and `DatabentoStatistics`.
Python bindings are provided via pyo3 (Rust) and so the types behaves a little differently to a built-in Nautilus
Python bindings are provided via pyo3 (Rust) so the types behave a little differently to a built-in Nautilus
data types, where all attributes are pyo3 provided objects and not directly compatible
with certain methods which may expect a Cython provided type. There are pyo3 -> legacy Cython
object conversion methods available, which can be found in the API reference.
Expand Down Expand Up @@ -244,7 +248,7 @@ the Nautilus Parquet data from disk, which achieves extremely high through-put (
than converting DBN -> Nautilus on the fly for every backtest run).

```{note}
Performance benchmarks are under development.
Performance benchmarks are currently under development.
```

## Loading DBN data
Expand Down
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Expand Up @@ -26,12 +26,12 @@ running strategies which are able to access larger capital allocations.

| Name | ID | Type | Status | Docs |
| :-------------------------------------------------------- | :-------------------- | :---------------------- | :------------------------------------------------------ | :------------------------------------------------------------------ |
| [Betfair](https://betfair.com) | `BETFAIR` | Sports Betting Exchange | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/betfair.html) |
| [Betfair](https://betfair.com) | `BETFAIR` | Sports Betting Exchange | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/betfair.html) |
| [Binance](https://binance.com) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) |
| [Binance US](https://binance.us) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) |
| [Binance Futures](https://www.binance.com/en/futures) | `BINANCE` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/binance.html) |
| [Bybit](https://www.bybit.com) | `BYBIT` | Crypto Exchange (CEX) | ![status](https://img.shields.io/badge/building-orange) | |
| [Databento](https://databento.com) | `DATABENTO` | Data provider | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/databento.html) |
| [Databento](https://databento.com) | `DATABENTO` | Data Provider | ![status](https://img.shields.io/badge/beta-yellow) | [Guide](https://docs.nautilustrader.io/integrations/databento.html) |
| [Interactive Brokers](https://www.interactivebrokers.com) | `INTERACTIVE_BROKERS` | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/stable-green) | [Guide](https://docs.nautilustrader.io/integrations/ib.html) |

## Implementation goals
Expand Down
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Expand Up @@ -12080,7 +12080,7 @@ <h2 id="module-nautilus_trader.adapters.interactive_brokers.config">
at
</span>
<span class="pre">
0x7ad1685cf350&gt;
0x79e85661b090&gt;
</span>
<span class="pre">
=
Expand Down
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Expand Up @@ -2272,6 +2272,15 @@
</li>
</ul>
</li>
<li class="md-nav__item">
<a class="md-nav__link" href="#nautilus_trader.common.component.LogGuard">
<code class="docutils literal notranslate">
<span class="pre">
LogGuard
</span>
</code>
</a>
</li>
<li class="md-nav__item">
<a class="md-nav__link" href="#nautilus_trader.common.component.Logger">
<code class="docutils literal notranslate">
Expand Down Expand Up @@ -20035,6 +20044,44 @@ <h2 id="module-nautilus_trader.common.component">
</dl>
</dd>
</dl>
<dl class="py class">
<dt class="sig sig-object py" id="nautilus_trader.common.component.LogGuard">
<em class="property">
<span class="pre">
class
</span>
<span class="w">
</span>
</em>
<span class="sig-name descname">
<span class="pre">
LogGuard
</span>
</span>
<a class="headerlink" href="#nautilus_trader.common.component.LogGuard" title="Permalink to this definition">
</a>
</dt>
<dd>
<p>
Bases:
<code class="xref py py-class docutils literal notranslate">
<span class="pre">
object
</span>
</code>
</p>
<p>
Provides a
<cite>
LogGuard
</cite>
which serves as a token to signal the initialization
of the logging system. It also ensures that the global logger is flushed
of any buffered records when the instance is destroyed.
</p>
</dd>
</dl>
<dl class="py class">
<dt class="sig sig-object py" id="nautilus_trader.common.component.Logger">
<em class="property">
Expand Down Expand Up @@ -26476,9 +26523,11 @@ <h2 id="module-nautilus_trader.common.component">
</span>
<span class="sig-return-typehint">
<span class="pre">
void
</span>
<a class="reference internal" href="#nautilus_trader.common.component.LogGuard" title="nautilus_trader.common.component.LogGuard">
<span class="pre">
LogGuard
</span>
</a>
</span>
</span>
<a class="headerlink" href="#nautilus_trader.common.component.init_logging" title="Permalink to this definition">
Expand All @@ -26498,7 +26547,15 @@ <h2 id="module-nautilus_trader.common.component">
</p>
<p>
This function should only be called once per process, at the beginning of the application
run.
run. Subsequent calls will raise a
<cite>
RuntimeError
</cite>
, as there can only be one
<cite>
LogGuard
</cite>
per initialized system.
</p>
<dl class="field-list simple">
<dt class="field-odd">
Expand Down Expand Up @@ -26760,6 +26817,33 @@ <h2 id="module-nautilus_trader.common.component">
</li>
</ul>
</dd>
<dt class="field-even">
Returns
<span class="colon">
:
</span>
</dt>
<dd class="field-even">
<p>
<em>
LogGuard
</em>
</p>
</dd>
<dt class="field-odd">
Raises
<span class="colon">
:
</span>
</dt>
<dd class="field-odd">
<p>
<strong>
RuntimeError
</strong>
– If the logging system has already been initialized.
</p>
</dd>
</dl>
</dd>
</dl>
Expand Down
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Expand Up @@ -1057,7 +1057,7 @@ <h3 id="data-loaders">
<p>
Data loader components are typically specific for the raw source/format and per integration. For instance, Binance order book data is stored in its raw CSV file form with
an entirely different format to
<a class="reference external" href="https://docs.databento.com/knowledge-base/new-users/dbn-encoding/getting-started-with-dbn">
<a class="reference external" href="https://databento.com/docs/knowledge-base/new-users/dbn-encoding/getting-started-with-dbn">
Databento Binary Encoding (DBN)
</a>
files.
Expand Down
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