Databento + Interactive Brokers: recommended patterns

[avhz]

Hi all, I am just wondering if there is a recommended pattern for the following:

• Databento data client (EQUS.MINI dataset)
• Interactive Brokers execution client
• Relatively large list of instrument IDs (determined daily when the session starts, not when the node is built)
• NautilusTrader v1.227, Python v3.12

Questions:

1. Do I need to use request_instrument for each ID prior to calling subscribe_quote_ticks ? I had this previously on the IB data client, but am now experiencing stalling/timeout after switching to Databento client. Removing it seems to cause:

Cannot resolve instrument X price precision for Databento live subscription

2. I tried batching the subscribe_quote_ticks via params={"instrument_ids": [...], "schema": "mbp-1"} (based on PR #3490) to avoid connection/rate limits, but this doesn't seem to work (I only receive ticks for the initial ID that I pass, since it is the only one that gets a message bus subscription I believe).

3. Venue mapping: Databento vs IB

IB with convert_exchange_to_mic_venue=True gives me TICKER.XNYS / TICKER.XNAS. Databento with EQUS.MINI seems to produces the same. Is XNYS/XNAS the correct and stable venue to use for both clients?

4. I tried using request_bars just to hydrate the cache with prices so I can use Position.notional_value with a recent price, however limit = 1 seems to return many bars in the batch when I just need a single value.

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Essentially I am just wondering what the recommended way is to dynamically load instruments when the Strategy runs (as opposed to when the node is built), and ensure that positions are loaded along with prices.

Thanks in advance !