https://github.com/databento/databento-cpp
The official C++ client library for Databento
https://github.com/databento/databento-cpp
binary-encoding databento historical-data http low-latency market-data real-time tcp tick-data
Last synced: 9 months ago
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The official C++ client library for Databento
- Host: GitHub
- URL: https://github.com/databento/databento-cpp
- Owner: databento
- License: apache-2.0
- Created: 2022-09-21T03:23:00.000Z (over 3 years ago)
- Default Branch: main
- Last Pushed: 2025-03-18T13:55:36.000Z (9 months ago)
- Last Synced: 2025-03-18T14:43:32.014Z (9 months ago)
- Topics: binary-encoding, databento, historical-data, http, low-latency, market-data, real-time, tcp, tick-data
- Language: C++
- Homepage: https://databento.com
- Size: 923 KB
- Stars: 37
- Watchers: 6
- Forks: 11
- Open Issues: 1
-
Metadata Files:
- Readme: README.md
- Changelog: CHANGELOG.md
- Contributing: CONTRIBUTING.md
- License: LICENSE
- Code of conduct: CODE_OF_CONDUCT.md
Awesome Lists containing this project
README
# databento-cpp
[](https://github.com/databento/databento-cpp/actions/workflows/build.yaml)
[](./LICENSE)
[](https://to.dbn.to/slack)
The official C++ client library for [Databento](https://databento.com).
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 3.14.
### Integration
The easiest way to use our library is by embedding it with [CMake FetchContent](https://cmake.org/cmake/help/latest/module/FetchContent.html).
Your `CMakeLists.txt` should look something like the following:
```cmake
# CMakeLists.txt
cmake_minimum_required(VERSION 3.14)
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](https://github.com/databento/databento-cpp).
To install the library to `/usr`, build and install it with the following:
```sh
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:
```cmake
# 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](https://www.openssl.org/)
- [Libcrypto](https://www.openssl.org/docs/man3.0/man7/crypto.html)
- [Zstandard (zstd)](https://github.com/facebook/zstd)
- [nlohmann\_json (header-only)](https://github.com/nlohmann/json)
- [cpp-httplib (header-only)](https://github.com/yhirose/cpp-httplib)
- [date (header-only)](https://github.com/HowardHinnant/date)
- [dirent (Windows-only, header-only)](https://github.com/tronkko/dirent)
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:
```sh
$ sudo apt update
$ sudo apt install libssl-dev libzstd-dev
```
#### macOS
On macOS, you can install the dependencies with [Homebrew](https://brew.sh/) by running the following:
```sh
$ 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:
```cpp
#include
#include
#include
#include
#include
#include
using namespace databento;
int main() {
PitSymbolMap symbol_mappings;
auto client =
LiveBuilder{}.SetKeyFromEnv().SetDataset("GLBX.MDP3").BuildThreaded();
auto handler = [&symbol_mappings](const Record& rec) {
symbol_mappings.OnRecord(rec);
if (const auto* trade = rec.GetIf()) {
std::cout << "Received trade for "
<< symbol_mappings[trade->hd.instrument_id] << ':' << *trade
<< '\n';
}
return KeepGoing::Continue;
};
client.Subscribe({"ES.FUT"}, Schema::Trades, 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:
```cpp
#include
#include
#include
#include
using namespace databento;
int main() {
auto client = HistoricalBuilder{}.SetKey("$YOUR_API_KEY").Build();
TsSymbolMap symbol_map;
auto decode_symbols = [&symbol_map](const Metadata& metadata) {
symbol_map = metadata.CreateSymbolMap();
};
auto print_trades = [&symbol_map](const Record& record) {
const auto& trade_msg = record.Get();
std::cout << "Received trade for " << symbol_map.At(trade_msg) << ": "
<< trade_msg << '\n';
return KeepGoing::Continue;
};
client.TimeseriesGetRange(
"GLBX.MDP3", {"2022-06-10T14:30", "2022-06-10T14:40"}, kAllSymbols,
Schema::Trades, SType::RawSymbol, 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`](./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](https://databento.com/docs/quickstart?historical=cpp&live=cpp).
## License
Distributed under the [Apache 2.0 License](https://www.apache.org/licenses/LICENSE-2.0.html).