Feat: Databento datasource support (#625)

* update: support Databento config in Readme

* remove: support config of databento in cloud

Author: Romazes

README.md

@@ -165,7 +165,7 @@ Options:
   -d, --detach                    Run the backtest in a detached Docker container and return immediately
   --debug [pycharm|ptvsd|debugpy|vsdbg|rider|local-platform]
                                   Enable a certain debugging method (see --help for more information)
-  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Terminal Link|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX]
+  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Terminal Link|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX|DataBento]
                                   Update the Lean configuration file to retrieve data from the given historical provider
   --ib-user-name TEXT             Your Interactive Brokers username
   --ib-account TEXT               Your Interactive Brokers account id
@@ -245,6 +245,7 @@ Options:
   --dydx-address TEXT             Your dYdX wallet address
   --dydx-subaccount-number INTEGER
                                   Your dYdX subaccount number
+  --databento-api-key TEXT        Your Databento.com API Key
   --download-data                 Update the Lean configuration file to download data from the QuantConnect API, alias
                                   for --data-provider-historical QuantConnect
   --data-purchase-limit INTEGER   The maximum amount of QCC to spend on downloading data during the backtest when using
@@ -896,7 +897,7 @@ Usage: lean data download [OPTIONS]
   https://www.quantconnect.com/datasets
 
 Options:
-  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Terminal Link|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX]
+  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Terminal Link|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX|DataBento]
                                   The name of the downloader data provider.
   --ib-user-name TEXT             Your Interactive Brokers username
   --ib-account TEXT               Your Interactive Brokers account id
@@ -976,6 +977,7 @@ Options:
   --dydx-address TEXT             Your dYdX wallet address
   --dydx-subaccount-number INTEGER
                                   Your dYdX subaccount number
+  --databento-api-key TEXT        Your Databento.com API Key
   --dataset TEXT                  The name of the dataset to download non-interactively
   --overwrite                     Overwrite existing local data
   -y, --yes                       Automatically confirm payment confirmation prompts
@@ -1346,9 +1348,9 @@ Options:
   -d, --detach                    Run the live deployment in a detached Docker container and return immediately
   --brokerage [Paper Trading|Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|CharlesSchwab|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX]
                                   The brokerage to use
-  --data-provider-live [Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|CharlesSchwab|IQFeed|Polygon|CoinApi|ThetaData|Custom data only|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX]
+  --data-provider-live [Interactive Brokers|Tradier|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Zerodha|Samco|Terminal Link|Trading Technologies|Kraken|CharlesSchwab|IQFeed|Polygon|CoinApi|ThetaData|Custom data only|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX|DataBento]
                                   The live data provider to use
-  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX]
+  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX|DataBento]
                                   Update the Lean configuration file to retrieve data from the given historical provider
   --ib-user-name TEXT             Your Interactive Brokers username
   --ib-account TEXT               Your Interactive Brokers account id
@@ -1493,6 +1495,7 @@ Options:
                                   don't have a market data subscription for (Optional).
   --alpaca-api-key TEXT           Your Alpaca Api Key
   --alpaca-api-secret TEXT        Your Alpaca Api Secret
+  --databento-api-key TEXT        Your Databento.com API Key
   --factset-auth-config-file FILE
                                   The path to the FactSet authentication configuration file
   --alpha-vantage-api-key TEXT    Your Alpha Vantage Api Key
@@ -1804,7 +1807,7 @@ Options:
   --parameter <TEXT FLOAT FLOAT FLOAT>...
                                   The 'parameter min max step' pairs configuring the parameters to optimize
   --constraint TEXT               The 'statistic operator value' pairs configuring the constraints of the optimization
-  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Terminal Link|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX]
+  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Terminal Link|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX|DataBento]
                                   Update the Lean configuration file to retrieve data from the given historical provider
   --download-data                 Update the Lean configuration file to download data from the QuantConnect API, alias
                                   for --data-provider-historical QuantConnect
@@ -1897,6 +1900,7 @@ Options:
   --dydx-address TEXT             Your dYdX wallet address
   --dydx-subaccount-number INTEGER
                                   Your dYdX subaccount number
+  --databento-api-key TEXT        Your Databento.com API Key
   --lean-config FILE              The Lean configuration file that should be used (defaults to the nearest lean.json)
   --verbose                       Enable debug logging
   --help                          Show this message and exit.
@@ -2074,7 +2078,7 @@ Usage: lean research [OPTIONS] PROJECT
 
 Options:
   --port INTEGER                  The port to run Jupyter Lab on (defaults to 8888)
-  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Terminal Link|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX]
+  --data-provider-historical [Interactive Brokers|Oanda|Bitfinex|Coinbase Advanced Trade|Binance|Kraken|CharlesSchwab|IQFeed|Polygon|FactSet|AlphaVantage|CoinApi|ThetaData|QuantConnect|Local|Terminal Link|Bybit|TradeStation|Alpaca|Tastytrade|Eze|dYdX|DataBento]
                                   Update the Lean configuration file to retrieve data from the given historical provider
   --ib-user-name TEXT             Your Interactive Brokers username
   --ib-account TEXT               Your Interactive Brokers account id
@@ -2154,6 +2158,7 @@ Options:
   --dydx-address TEXT             Your dYdX wallet address
   --dydx-subaccount-number INTEGER
                                   Your dYdX subaccount number
+  --databento-api-key TEXT        Your Databento.com API Key
   --download-data                 Update the Lean configuration file to download data from the QuantConnect API, alias
                                   for --data-provider-historical QuantConnect
   --data-purchase-limit INTEGER   The maximum amount of QCC to spend on downloading data during the research session