Use intraday replay to synthetically generate a snapshot

replay_snapshot.py

#!/usr/bin/env python
#
# replay_snapshot.py
#
# As of Databento's Python client v0.33.0, intraday snapshots are not available via
# the historical (HTTP) API, so you can use intraday replay to generate those snapshots
# on client side. This is the recommended method until these two features are released:
#
# If no bar for a symbol is received in the first second, there will be no entry in the
# DataFrame for that symbol.
#
# 1. https://roadmap.databento.com/roadmap/provide-snapshots-for-historical-and-live-data
# 2. https://roadmap.databento.com/roadmap/expose-intraday-and-current-trading-session-historical-data-over-historical-http-api-and-clients

import databento as db
import pandas as pd


client = db.Live()

START = pd.Timestamp("2024-04-29T09:30:00", tz="US/Eastern")
STOP = pd.Timestamp("2024-04-29T09:30:01", tz="US/Eastern")
SYMBOL_MAP = {}
BARS: dict[str, dict | None] = {
    "AMZN": None,
    "MSFT": None,
    "NFLX": None,
    "TSLA": None,
}

client.subscribe(
    dataset=db.Dataset.XNAS_ITCH,
    schema=db.Schema.OHLCV_1S,
    symbols=BARS.keys(),
    start=START,
)

for record in client:
    if isinstance(record, db.SymbolMappingMsg):
        SYMBOL_MAP[record.hd.instrument_id] = record.stype_in_symbol
    elif isinstance(record, db.OHLCVMsg):
        symbol = SYMBOL_MAP.get(record.instrument_id, None)
        if symbol is not None and BARS[symbol] is None:
            BARS[symbol] = {
                "ts_event": record.pretty_ts_event.tz_convert("US/Eastern"),
                "symbol": symbol,
                "open": record.pretty_open,
                "high": record.pretty_high,
                "low": record.pretty_low,
                "close": record.pretty_close,
                "volume": record.volume,
            }
    if record.pretty_ts_event >= STOP or all(BARS.values()):
        client.stop()

df = pd.DataFrame(row for row in BARS.values() if row is not None).set_index("ts_event")
print(df)

"""
                          symbol    open    high     low   close   volume
ts_event
2024-04-29 09:30:00-04:00   AMZN  182.72  182.77  182.54  182.73   671567
2024-04-29 09:30:00-04:00   MSFT  405.65  405.88  405.40  405.87   268154
2024-04-29 09:30:00-04:00   NFLX  559.18  559.32  558.84  558.84    27780
2024-04-29 09:30:00-04:00   TSLA  188.39  188.48  188.21  188.29  1324424
"""