Databento two-stage price producer + per-symbol provider selection (ADR-0006)#39
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Implements ADR-0006 (one price provider per symbol) so a server without Norgate can build the price store from Databento. - registry: databento capability mapping + optional price_source override; resolve_source()/default_price_source() (COTDATA_PRICE_SOURCE); softs/lumber/MSCI marked non-GLBX with Yahoo fallback tickers. - databento provider: two-stage ingest (paid, append-only raw store, resumable) + build (free, additive back-adjustment; roll detection via instrument_id; settlement stat_type 3; OI stat_type 9). - yfinance: deployment-aware target selection via resolve_source. - update.py: --ingest-databento / --build-databento flags. - scripts/validate_databento_vs_norgate.py: Norgate-parity harness. - README + pyproject docs; 16 new/updated tests. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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Implements ADR-0006 so a server without Norgate can build the price store from Databento. Consumers (cotmetrics, cot-analyzer) are unchanged — they still read the store.
Per-symbol provider selection
databentocapability mapping + optionalprice_sourceoverride in the registry.resolve_source()/default_price_source()(COTDATA_PRICE_SOURCE): deployment default + capability + yfinance fallback. The yfinance producer is now deployment-aware.Databento producer (two stages)
--ingest-databento(paid): raw.n.0/.n.1ohlcv-1d+statisticsinto an append-only, resumable raw store (producer-internal).--build-databento(free): additive back-adjustment matching Norgate's method (gap =n1 − n0on each roll date, shifted back-to-front so the newest segment stays at real prices), settlement close (stat_type 3), OI (stat_type 9). Roll detection keys oninstrument_id(thesymbolcolumn is a constant continuous alias).Validation & docs
scripts/validate_databento_vs_norgate.pyparity harness (unit-tested on synthetic frames).Verified on live ES/CL/GC (65/80/235 rolls; daily changes preserved off-seam, newest segment anchored to real prices, no non-positive closes). Also carries the CFTC
format='mixed'date-parse hardening + a future-date sanity guard.cotdata: 110 tests green.
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