Example of fetching CME and ICE energy futures data on Databento

energies.py

import databento as db


client = db.Historical()

# Heating oil, gasoline and crude futures on CME and ICE
# .FUT parent symbology notation fetches all expirations across 
# all outrights and multi-legged spreads etc.
CME_SYMBOLS = ['HO.FUT', 'RB.FUT', 'CL.FUT']
ICE_SYMBOLS = ['UHO.FUT', 'UHU.FUT', 'BRN.FUT']

data = client.timeseries.get_range(
    dataset='GLBX.MDP3',
    schema='ohlcv-1m',                      # 1-min OHLCV
    stype_in='parent',                      # fetch all expirations, spreads, etc.
    symbols=CME_SYMBOLS,
    start='2024-02-12',
    end='2024-02-13',
)
df_cme_1m = data.to_df(tz='US/Eastern')

data = client.timeseries.get_range(
    dataset='GLBX.MDP3',
    schema='trades',                        # tick-by-tick trades i.e. last sale
    stype_in='parent',
    symbols=CME_SYMBOLS,
    start='2024-02-12',
    end='2024-02-13',
)
df_cme_trades = data.to_df(tz='US/Eastern')


data = client.timeseries.get_range(
    dataset='IFEU.IMPACT',
    schema='ohlcv-1m',
    stype_in='parent',
    symbols=ICE_SYMBOLS,
    start='2024-02-12',
    end='2024-02-13',
)
df_ice_1m = data.to_df(tz='US/Eastern')

data = client.timeseries.get_range(
    dataset='IFEU.IMPACT',
    schema='trades',
    stype_in='parent',
    symbols=ICE_SYMBOLS,
    start='2024-02-12',
    end='2024-02-13',
)
df_ice_trades = data.to_df(tz='US/Eastern')

df_cme_1m.to_csv('databento-cme-energies-2024-02-12.ohlcv-1m.csv.gz', compression='gzip')
df_cme_trades.to_csv('databento-cme-energies-2024-02-12.trades.csv.gz', compression='gzip')
df_ice_1m.to_csv('databento-ice-energies-2024-02-12.ohlcv-1m.csv.gz', compression='gzip')
df_ice_trades.to_csv('databento-ice-energies-2024-02-12.trades.csv.gz', compression='gzip')

df_cme_1m.to_parquet('databento-cme-energies-2024-02-12.ohlcv-1m.parquet.gz', compression='gzip')
df_cme_trades.to_parquet('databento-cme-energies-2024-02-12.trades.parquet.gz', compression='gzip')
df_ice_1m.to_parquet('databento-ice-energies-2024-02-12.ohlcv-1m.parquet.gz', compression='gzip')
df_ice_trades.to_parquet('databento-ice-energies-2024-02-12.trades.parquet.gz', compression='gzip')

print(df_cme_1m)
print(df_ice_1m)