Fix contract symbol parsing for ambiguous roots like MYM#9
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adamoverton wants to merge 6 commits intoQuantConnect:masterfrom
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Fix contract symbol parsing for ambiguous roots like MYM#9adamoverton wants to merge 6 commits intoQuantConnect:masterfrom
adamoverton wants to merge 6 commits intoQuantConnect:masterfrom
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Update target framework from net9.0 to net10.0 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
Databento returns OHLCV prices as fixed-point integers scaled by 10^9. The DatabentoBar class was parsing these as raw decimals, resulting in prices like 6707750000000 instead of 6707.75. - Change OHLCV fields from decimal to long (OpenRaw, HighRaw, etc.) - Apply PriceScaleFactor (1e-9) to get actual prices - Volume remains as long (not scaled) 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
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>
🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
The previous parsing logic failed for symbols like MYMH6 where the month code (H=March) appears within the root symbol (MYM). The parser would incorrectly identify M as the month code. Changes: - Parse from end of symbol: find year digits first, then month code - Added MonthCodeToMonth dictionary with all CME month codes - Added ParseDatabentoContractSymbol as public method for testing - Added SymbolMappingReceived event for contract resolution tracking - Implemented IDataQueueUniverseProvider interface in DataBentoDataProvider - Added LookupSymbols() and CanPerformSelection() for futures universe support - Track resolved contracts in _resolvedContracts dictionary - Added comprehensive unit tests for contract parsing Test cases verified: - MYMH6 -> MYM March 2026 (bug case) - ESZ25 -> ES December 2025 - NQM6 -> NQ June 2026 - YMH26 -> YM March 2026 (2-digit year) - MESF7 -> MES January 2027 - CLG26 -> CL February 2026 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.5 <noreply@anthropic.com>
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Summary
ParseDatabentoContractSymbol()to parse from end of symbol (year digits → month code → root)MonthCodeToMonthdictionary with all CME month codes (F,G,H,J,K,M,N,Q,U,V,X,Z)IDataQueueUniverseProviderinterface inDataBentoDataProviderLookupSymbols()andCanPerformSelection()for futures universe supportProblem
The previous parsing logic failed for symbols like
MYMH6where the month code (H=March) appears within the root symbol (MYM). The parser would incorrectly identifyMas the month code, resulting in wrong contract resolution.Solution
Parse from the end of the symbol:
Test cases verified
Test plan
🤖 Generated with Claude Code