Update Databento docs with BBO schemas

nautechsystems · Oct 7, 2024 · 102ea05 · 102ea05
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Showing 3 changed files with 13 additions and 2 deletions.
diff --git a/docs/integrations/databento.md b/docs/integrations/databento.md
@@ -63,6 +63,8 @@ The following Databento schemas are supported by NautilusTrader:
 | MBO              | `OrderBookDelta`                  |
 | MBP_1            | `(QuoteTick, Option<TradeTick>)`  |
 | MBP_10           | `OrderBookDepth10`                |
+| BBO_1S           | `QuoteTick`                       |
+| BBO_1M           | `QuoteTick`                       |
 | TBBO             | `(QuoteTick, TradeTick)`          |
 | TRADES           | `TradeTick`                       |
 | OHLCV_1S         | `Bar`                             |
@@ -74,6 +76,10 @@ The following Databento schemas are supported by NautilusTrader:
 | STATISTICS       | `DatabentoStatistics`             |
 | STATUS           | `InstrumentStatus`                |
 
+:::info
+See also the Databento [Schemas and data formats](https://databento.com/docs/schemas-and-data-formats) guide.
+:::
+
 ## Instrument IDs and symbology
 
 Databento market data includes an `instrument_id` field which is an integer assigned

diff --git a/nautilus_core/adapters/src/databento/loader.rs b/nautilus_core/adapters/src/databento/loader.rs
@@ -48,6 +48,8 @@ use super::{
 ///  - MBO -> `OrderBookDelta`
 ///  - MBP_1 -> `(QuoteTick, Option<TradeTick>)`
 ///  - MBP_10 -> `OrderBookDepth10`
+///  - BBO_1S -> `QuoteTick`
+///  - BBO_1M -> `QuoteTick`
 ///  - TBBO -> `(QuoteTick, TradeTick)`
 ///  - TRADES -> `TradeTick`
 ///  - OHLCV_1S -> `Bar`
@@ -60,7 +62,8 @@ use super::{
 ///  - STATUS -> `InstrumentStatus`
 ///
 /// # References
-/// <https://databento.com/docs/knowledge-base/new-users/dbn-encoding>
+///
+/// <https://databento.com/docs/schemas-and-data-formats>
 #[cfg_attr(
     feature = "python",
     pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.databento")

diff --git a/nautilus_trader/adapters/databento/loaders.py b/nautilus_trader/adapters/databento/loaders.py
@@ -36,6 +36,8 @@ class DatabentoDataLoader:
      - MBO -> `OrderBookDelta`
      - MBP_1 -> `(QuoteTick, TradeTick | None)`
      - MBP_10 -> `OrderBookDepth10`
+     - BBO_1S -> `QuoteTick`
+     - BBO_1M -> `QuoteTick`
      - TBBO -> `(QuoteTick, TradeTick)`
      - TRADES -> `TradeTick`
      - OHLCV_1S -> `Bar`
@@ -49,7 +51,7 @@ class DatabentoDataLoader:
 
     References
     ----------
-    https://databento.com/docs/knowledge-base/new-users/dbn-encoding
+    https://databento.com/docs/schemas-and-data-formats
 
     """