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Retrieve CME FX Link order book data with Databento
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| #!/usr/bin/env python3 | |
| # -*- coding: utf-8 -*- | |
| """ | |
| cme_fx_link.py | |
| ============== | |
| Retrieve CME FX Link order book (MBO) data using the Databento API. | |
| Databento API を使用して、CME FX Link のオーダーブック | |
| （マーケット・バイ・オーダー）データを取得します。 | |
| """ | |
| import databento as db | |
| # EN: Initialize Databento historical client | |
| # JP: Databento の履歴データクライアントを初期化 | |
| client = db.Historical() | |
| # EN: Get all instrument definitions for the given date range | |
| # JP: 指定した日付範囲の全銘柄定義を取得 | |
| symbols_dbn = client.timeseries.get_range( | |
| dataset="GLBX.MDP3", | |
| schema="definition", | |
| symbols="ALL_SYMBOLS", | |
| start="2025-04-09", | |
| end="2025-04-10", | |
| ) | |
| df = symbols_dbn.to_df() | |
| # EN: Filter for CME FX Link spreads (exchange code: XFXS) | |
| # Reference: https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457419638/CME+FX+Link+Spread | |
| # JP: CME FX Link の銘柄を抽出（取引所コード: XFXS） | |
| # 参考: https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/457419638/CME+FX+Link+Spread | |
| fx_link_symbols = df.loc[df["exchange"] == "XFXS", "raw_symbol"].to_list() | |
| # EN: Retrieve order book (MBO) data for FX Link instruments | |
| # JP: FX Link 銘柄のマーケット・バイ・オーダーデータを取得 | |
| data = client.timeseries.get_range( | |
| dataset="GLBX.MDP3", | |
| schema="mbo", | |
| symbols=fx_link_symbols, | |
| start="2025-04-09", | |
| end="2025-04-10", | |
| ) | |
| # EN: Convert to pandas DataFrame with timezone awareness | |
| # JP: タイムゾーンを指定して pandas DataFrame に変換 | |
| df = data.to_df(tz="Asia/Tokyo") | |
| # EN: Display the resulting DataFrame | |
| # JP: 結果の DataFrame を表示 | |
| print(df) | |
| """ | |
| ts_event rtype publisher_id instrument_id action side price size channel_id order_id flags ts_in_delta sequence symbol | |
| ts_recv | |
| 2025-04-09 09:00:00+09:00 2025-04-09 08:23:29.672872609+09:00 160 1 42106754 R N NaN 0 4 0 40 0 0 6A:XF:AUDUSD:M5 | |
| 2025-04-09 09:00:00+09:00 2025-04-09 08:23:29.672872609+09:00 160 1 42106754 A B 0.00030 250 4 8819964586725 40 0 123811247 6A:XF:AUDUSD:M5 | |
| 2025-04-09 09:00:00+09:00 2025-04-09 08:23:30.329363903+09:00 160 1 42106754 A B 0.00031 250 4 8819964586806 40 0 123811403 6A:XF:AUDUSD:M5 | |
| 2025-04-09 09:00:00+09:00 2025-04-09 08:23:34.176864603+09:00 160 1 42106754 A B 0.00032 250 4 8819964587323 40 0 123812571 6A:XF:AUDUSD:M5 | |
| 2025-04-09 09:00:00+09:00 2025-04-09 08:23:34.176868059+09:00 160 1 42106754 A A 0.00042 250 4 8819964587324 40 0 123812572 6A:XF:AUDUSD:M5 | |
| ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... | |
| 2025-04-10 08:35:13.007033449+09:00 2025-04-10 08:35:13.006893433+09:00 160 1 42106754 A B 0.00041 250 4 8819991508226 130 17039 183200983 6A:XF:AUDUSD:M5 | |
| 2025-04-10 08:35:48.537911048+09:00 2025-04-10 08:35:48.537784825+09:00 160 1 42106754 C B 0.00038 35 4 8819991507673 130 16216 183208359 6A:XF:AUDUSD:M5 | |
| 2025-04-10 08:35:48.538052814+09:00 2025-04-10 08:35:48.537943773+09:00 160 1 42106754 A B 0.00039 35 4 8819991511945 130 15625 183208360 6A:XF:AUDUSD:M5 | |
| 2025-04-10 08:35:59.275346914+09:00 2025-04-10 08:35:59.275221601+09:00 160 1 42106754 A A 0.00045 35 4 8819991513014 130 16646 183210423 6A:XF:AUDUSD:M5 | |
| 2025-04-10 08:35:59.275356299+09:00 2025-04-10 08:35:59.275226843+09:00 160 1 42106754 C A 0.00048 35 4 8819991507679 130 11961 183210424 6A:XF:AUDUSD:M5 | |
| [156358 rows x 14 columns] | |
| """ |
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