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Fix OHLCV price scaling in DataBentoDataDownloader #4

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Fix OHLCV price scaling in DataBentoDataDownloader #4

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18 changes: 11 additions & 7 deletions QuantConnect.DataBento/DataBentoDataDownloader.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -236,8 +236,8 @@ private string MapSymbolToDataBento(Symbol symbol)
return symbol.Value;
}

/// Class for parsing trade data from Databento
/// Really used as a map from the http request to then get it in QC data structures
/// Class for parsing OHLCV bar data from Databento
/// Databento returns prices as fixed-point integers scaled by 10^9
private class DatabentoBar
{
[Name("ts_event")]
Expand All @@ -247,19 +247,23 @@ private class DatabentoBar
.AddTicks((TimestampNanos % 1_000_000_000) / 100).UtcDateTime;

[Name("open")]
public decimal Open { get; set; }
public long OpenRaw { get; set; }
public decimal Open => OpenRaw * PriceScaleFactor;

[Name("high")]
public decimal High { get; set; }
public long HighRaw { get; set; }
public decimal High => HighRaw * PriceScaleFactor;

[Name("low")]
public decimal Low { get; set; }
public long LowRaw { get; set; }
public decimal Low => LowRaw * PriceScaleFactor;

[Name("close")]
public decimal Close { get; set; }
public long CloseRaw { get; set; }
public decimal Close => CloseRaw * PriceScaleFactor;

[Name("volume")]
public decimal Volume { get; set; }
public long Volume { get; set; }
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@jaredbroad jaredbroad Jan 2, 2026

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Volume needs to be decimal for fractional shares

}

private class DatabentoTrade
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