Initial code for DataBento Implementation.

.github/workflows/build.yml

@@ -0,0 +1,54 @@
+name: Build & Test
+
+on:
+  push:
+    branches: ['*']
+  pull_request:
+    branches: [master]
+
+jobs:
+  build:
+    runs-on: ubuntu-24.04
+    steps:
+      - name: Checkout
+        uses: actions/checkout@v2
+
+      - name: Liberate disk space
+        uses: jlumbroso/free-disk-space@main
+        with:
+          tool-cache: true
+          large-packages: false
+          docker-images: false
+          swap-storage: false
+
+      - name: Checkout Lean Same Branch
+        id: lean-same-branch
+        uses: actions/checkout@v2
+        continue-on-error: true
+        with:
+          ref: ${{ github.ref }}
+          repository: QuantConnect/Lean
+          path: Lean
+
+      - name: Checkout Lean Master
+        if: steps.lean-same-branch.outcome != 'success'
+        uses: actions/checkout@v2
+        with:
+          repository: QuantConnect/Lean
+          path: Lean
+
+      - name: Move Lean
+        run: mv Lean ../Lean
+
+      - uses: addnab/docker-run-action@v3
+        with:
+          image: quantconnect/lean:foundation
+          options: --workdir /__w/Lean.DataSource.SDK/Lean.DataSource.SDK -v /home/runner/work:/__w
+          shell: bash
+          run: |
+            # BuildDataSource
+            dotnet build ./QuantConnect.DataSource.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1 && \
+            # BuildTests
+            dotnet build ./tests/Tests.csproj /p:Configuration=Release /v:quiet /p:WarningLevel=1 && \
+            # Run Tests
+            dotnet test ./tests/bin/Release/net9.0/Tests.dll

.gitignore

@@ -50,3 +50,16 @@ modules.order
 Module.symvers
 Mkfile.old
 dkms.conf
+
+# Build results
+[Dd]ebug/
+[Dd]ebugPublic/
+[Rr]elease/
+[Rr]eleases/
+x64/
+x86/
+.vs/
+build/
+bld/
+[Bb]in/
+[Oo]bj/

Demonstration.cs

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+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using QuantConnect.Algorithm;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect;
+using QuantConnect.Data;
+using QuantConnect.Securities.Future;
+using QuantConnect.Util;
+using System;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class DatabentoFuturesTestAlgorithm : QCAlgorithm
+    {
+        private Future _es;
+
+        public override void Initialize()
+        {
+            Log("Algorithm Initialize");
+
+            SetStartDate(2025, 10, 1);
+            SetEndDate(2025, 10, 16);
+            SetCash(100000);
+
+            var exp = new DateTime(2025, 12, 19);
+            var symbol = QuantConnect.Symbol.CreateFuture("ES", Market.CME, exp);
+            _es = AddFutureContract(symbol, Resolution.Second, true, 1, true);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!slice.HasData)
+            {
+                Log("Slice has no data");
+                return;
+            }
+
+            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)
+                    {
+                        Log($"Trade Tick - Price: {tick.Price}, Quantity: {tick.Quantity}, Time: {tick.Time}");
+                    }
+                    else if (tick.TickType == TickType.Quote)
+                    {
+                        Log($"Quote Tick - Bid: {tick.BidPrice}x{tick.BidSize}, Ask: {tick.AskPrice}x{tick.AskSize}, Time: {tick.Time}");
+                    }
+                }
+            }
+
+            // These won't have data for Tick resolution
+            if (slice.Bars.ContainsKey(_es.Symbol))
+            {
+                var bar = slice.Bars[_es.Symbol];
+                Log($"Bar - O:{bar.Open} H:{bar.High} L:{bar.Low} C:{bar.Close} V:{bar.Volume}");
+            }
+        }
+    }
+}

DemonstrationUniverse.cs

@@ -0,0 +1,28 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System.Linq;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.DataSource;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Example algorithm using the custom data type as a source of alpha
+    /// </summary>
+    public class CustomDataUniverse : QCAlgorithm
+    { }
+}

Lean.DataSource.DataBento.sln

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+Microsoft Visual Studio Solution File, Format Version 12.00
+# Visual Studio Version 17
+VisualStudioVersion = 17.5.2.0
+MinimumVisualStudioVersion = 10.0.40219.1
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QuantConnect.DataBento", "QuantConnect.DataBento\QuantConnect.DataSource.DataBento.csproj", "{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QuantConnect.DataBento.Tests", "QuantConnect.DataBento.Tests\QuantConnect.DataSource.DataBento.Tests.csproj", "{9CF47860-2CEA-F379-09D8-9AEF27965D12}"
+EndProject
+Global
+	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|Any CPU = Debug|Any CPU
+		Release|Any CPU = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{367AEEDC-F0B3-7F47-539D-10E5EC242C2A}.Release|Any CPU.Build.0 = Release|Any CPU
+		{4B379C8F-16CE-1972-73E3-C14F6410D428}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{4B379C8F-16CE-1972-73E3-C14F6410D428}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{4B379C8F-16CE-1972-73E3-C14F6410D428}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{4B379C8F-16CE-1972-73E3-C14F6410D428}.Release|Any CPU.Build.0 = Release|Any CPU
+		{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{9CF47860-2CEA-F379-09D8-9AEF27965D12}.Release|Any CPU.Build.0 = Release|Any CPU
+	EndGlobalSection
+	GlobalSection(SolutionProperties) = preSolution
+		HideSolutionNode = FALSE
+	EndGlobalSection
+	GlobalSection(ExtensibilityGlobals) = postSolution
+		SolutionGuid = {CE272A88-90FF-4452-B402-D3AD0D08FB15}
+	EndGlobalSection
+EndGlobal