Enhance live data provider with replay and canonical futures support#6
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adamoverton wants to merge 2 commits intoQuantConnect:masterfrom
Closed
Enhance live data provider with replay and canonical futures support#6adamoverton wants to merge 2 commits intoQuantConnect:masterfrom
adamoverton wants to merge 2 commits intoQuantConnect:masterfrom
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Log history requests and rejection reasons at Trace level to help debug DataBento integration issues. 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
Features: - Add [Export] attribute for MEF plugin discovery - Add intraday replay support via databento-replay-start config - "0" for full replay, ISO datetime for specific time, omit for 15-min default - Support canonical (continuous) futures symbols - Use tick-level schemas (trades, mbp-1) for live streaming - LEAN aggregator consolidates ticks into bars Fixes: - Fix volume parsing in OHLCV bars (parse string to long) Improvements: - Reduce logging verbosity (remove per-tick spam) - Add controlled logging for trade bars (first 10, then every 50th) 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
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Summary
Multiple enhancements to the live data provider for better LEAN integration.
Features
[Export]attribute for MEF plugin discoverydatabento-replay-startconfig"0"for full replay (up to 24 hours)Improvements
🤖 Generated with Claude Code