I solved this programmatically. The report class got a member for the entity class which I initialized in the report's constructor. After the call to InitializeComponent() I set the DataSource for the report.
public partial class DataBindingReport : Telerik.Reporting.Report
private UdbEntities _db;
DataSource = _db.TodaysDailyBarsPerProduct.ToList();
UdbEntities is my entity type.
I hope that helps,