Databento Market Data Analysis

关于

This skill provides a structured framework for interacting with the Databento market data platform, specifically optimized for ES (E-mini S&P 500) and NQ (E-mini Nasdaq-100) futures. It enforces a rigorous four-step workflow—cost estimation, availability verification, data fetching, and post-fetch validation—to prevent expensive API errors and ensure data integrity. Whether you are performing intraday order flow analysis or long-term strategy backtesting, this skill simplifies complex symbology, manages continuous contract rolls, and provides reusable scripts for processing high-frequency financial data within Claude Code.

主要功能

• Dual-mode fetching for small time-series queries and large batch downloads
• Automated cost estimation tools to prevent unexpected API billing
• Integrated data quality validation for timestamp gaps and price outliers
• Mandatory 4-step workflow (Cost, Availability, Fetch, Validate) to prevent errors
• Native support for ES/NQ continuous contract symbology and roll strategies
• 0 GitHub stars

使用场景

• Automating financial data collection for quantitative research and ML models
• Performing intraday order flow and market microstructure analysis
• Backtesting trading strategies using historical OHLCV or high-frequency tick data