DatabentoDotNet.Live 0.10.0

DatabentoDotNet.Live

Real-time and intraday-replay streaming from Databento, over the raw TCP gateway protocol. A .NET port of databento-rs's live client.

0.10.0 is a beta. The code is complete and tested; what is not yet settled is whether the public surface is the right shape. 1.0.0 undertakes not to break it, so the beta is when that undertaking is worth contesting — if something here is awkward to call, an issue now is much cheaper than a major version later.

using DatabentoDotNet;
using DatabentoDotNet.Dbn;
using DatabentoDotNet.Live;

await using var client = new LiveClient
{
    ApiKey = new ApiKey(Environment.GetEnvironmentVariable("DATABENTO_API_KEY")!),
    Dataset = "EQUS.MINI",
};

await client.SubscribeAsync(new Subscription
{
    Schema = Schema.Trades,
    Symbols = Symbols.From(["AAPL", "MSFT"]),
});

await client.StartAsync();

while (await client.FillBufferAsync() > 0)
{
    while (client.TryNextRecord(out RecordRef record))
    {
        if (record.TryGet(out TradeMsg trade))
            Console.WriteLine($"{DbnTime.ToInstant(trade.IndexTs)} {trade.Price} x {trade.Size}");
    }
}

Why it is a pair of calls and not one

Upstream's next_record() does not port, and cannot. An async method may not return a ref struct, so there is no Task<RecordRef> — the split is FillBufferAsync (awaits bytes) and TryNextRecord (reinterprets them in place, synchronously). That is the same lifetime rule the decoder imposes, enforced by the compiler rather than by documentation: a RecordRef that tried to survive an await fails to compile with CS4007.

Decoding allocates nothing per record, over a real socket — asserted in the test suite against a mock gateway, not just reported by a benchmark. If you would rather have heap copies than manage that lifetime, RecordsAsync gives you an IAsyncEnumerable and pays for it.

Dependencies

NodaTime — every timeout and HeartbeatInterval is a Duration, because TimeSpan is banned repo-wide — plus DatabentoDotNet.Dbn and ZstdSharp.Port, the latter for a session that negotiated compression=zstd.

Documentation

The API reference is the XML documentation shipped inside this package. Guides, the reconnect and start_session semantics, and troubleshooting are at jerbersoft.github.io/databentodotnet — start with Live Streaming.

Source, issues, and roadmap: https://github.com/jerbersoft/databentodotnet.