databento-cpp

The official C++ client library for Databento. The client supports both streaming real-time and historical market data through similar interfaces.

Usage

The minimum C++ standard is C++17 and the minimum CMake version is 3.24.

Integration

The easiest way to use our library is by embedding it with CMake FetchContent. Your CMakeLists.txt should look something like the following:

# CMakeLists.txt
cmake_minimum_required(VERSION 3.24)

project(databento_example)
include(FetchContent)

FetchContent_Declare(
  databento
  GIT_REPOSITORY https://github.com/databento/databento-cpp
  GIT_TAG HEAD
)
FetchContent_MakeAvailable(databento)

add_executable(example main.cpp)
target_link_libraries(example PRIVATE databento::databento)

Alternatively, you can clone the source code from GitHub here.

To install the library to /usr, build and install it with the following:

git clone https://github.com/databento/databento-cpp
cd databento-cpp
cmake -S . -B build \
  -DCMAKE_BUILD_TYPE=RelWithDebInfo \
  -DCMAKE_INSTALL_PREFIX='/usr'
cmake --build build --target databento --parallel
cmake --install build

In your project's CMakeLists.txt, add the following:

# CMakeLists.txt
find_package(databento REQUIRED)
target_link_libraries(example PRIVATE databento::databento)

Dependencies

You'll need to ensure the following dependencies are installed:

• OpenSSL (minimum version 3.0)
• Libcrypto
• Zstandard (zstd)
• nlohmann_json (header-only)
• cpp-httplib (header-only)
• date (header-only)

By default, date, cpp-httplib and nlohmann_json are downloaded by CMake as part of the build process. If you would like to use a local version of these libraries, enable the CMake flag DATABENTO_USE_EXTERNAL_DATE, DATABENTO_USE_EXTERNAL_HTTPLIB, or DATABENTO_USE_EXTERNAL_JSON respectively.

Ubuntu

Run the following commands to install the dependencies on Ubuntu:

$ sudo apt update
$ sudo apt install libssl-dev libzstd-dev

macOS

On macOS, you can install the dependencies with Homebrew by running the following:

$ brew install openssl@3 zstd

Live

Real-time and intraday replay is provided through the Live clients. Here is a simple program that fetches 10 seconds of trades for all ES mini futures:

#include <chrono>
#include <databento/live.hpp>
#include <databento/symbol_map.hpp>
#include <iostream>
#include <thread>

namespace db = databento;

int main() {
  db::PitSymbolMap symbol_mappings;

  auto client = db::LiveThreaded::Builder()
                    .SetKeyFromEnv()
                    .SetDataset(db::Dataset::GlbxMdp3)
                    .BuildThreaded();

  auto handler = [&symbol_mappings](const db::Record& rec) {
    symbol_mappings.OnRecord(rec);
    if (const auto* trade = rec.GetIf<db::TradeMsg>()) {
      std::cout << "Received trade for " << symbol_mappings[trade->hd.instrument_id]
                << ':' << *trade << '\n';
    }
    return db::KeepGoing::Continue;
  };

  client.Subscribe({"ES.FUT"}, db::Schema::Trades, db::SType::Parent);
  client.Start(handler);
  std::this_thread::sleep_for(std::chrono::seconds{10});
  return 0;
}

To run this program, set the DATABENTO_API_KEY environment variable with an actual API key.

Historical

Here is a simple program that fetches 10 minutes worth of historical trades for two CME futures:

#include <databento/dbn.hpp>
#include <databento/historical.hpp>
#include <databento/symbol_map.hpp>
#include <iostream>

namespace db = databento;

int main() {
  auto client = db::Historical::Builder().SetKey("$YOUR_API_KEY").Build();
  db::TsSymbolMap symbol_map;
  auto decode_symbols = [&symbol_map](const db::Metadata& metadata) {
    symbol_map = metadata.CreateSymbolMap();
  };
  auto print_trades = [&symbol_map](const db::Record& record) {
    const auto& trade_msg = record.Get<db::TradeMsg>();
    std::cout << "Received trade for " << symbol_map.At(trade_msg) << ": " << trade_msg
              << '\n';
    return db::KeepGoing::Continue;
  };
  client.TimeseriesGetRange("GLBX.MDP3", {"2022-06-10T14:30", "2022-06-10T14:40"},
                            {"ESM2", "NQZ2"}, db::Schema::Trades, db::SType::RawSymbol,
                            db::SType::InstrumentId, {}, decode_symbols, print_trades);
}

To run this program, set the DATABENTO_API_KEY environment variable with an actual API key.

Additional example standalone executables are provided in the example directory. These examples can be compiled by enabling the cmake option DATABENTO_ENABLE_EXAMPLES with -DDATABENTO_ENABLE_EXAMPLES=1 during the configure step.

Documentation

You can find more detailed examples and the full API documentation on the Databento doc site.

License

Distributed under the Apache 2.0 License.