Recent content by Databento

Thanks for asking and yes that is a requested feature here. We don't have immediate plans to develop it but will probably do so if we see more interest in it. I'll forward your feedback to the product team.

Yes, tick-by-tick, timestamped to the nanosecond.

It's because you're looking at the wrong place. The TRFs are where ATSes (informally called "dark pools") report their trades. The short trades you see in those files are going to be ones on venues like UBS, Instinet, LeveL ATS, Blue Ocean, JPM-X, Sigma X2, etc. Not short trades on exchanges...

Thank you so much for recommending us! <3

We consume the OPRA raw feed and it's L1 only. You can see the spec here, there's only best bid/offer, no depth index.

The short answer is yes, but it's extremely expensive. The long answer is complicated. So, options data that you've seen so far is almost always sourced from OPRA, which consolidates data from all of the US equity option exchanges. OPRA is a L1 feed that publishes the top of book and last...

Thanks @NorgateData and @2rosy. You can indeed see this on our site. From Aug 19, 2024: Last sale only (Trades): 12.75 MB L1 (MBP-1): 388.82 MB L2 (MBP-10): 2.44 GB L3 (MBO): 457.49 MB There are a few nuances to point out: A majority of book updates happen at top of book, because...

We have no plans in the short term to release a solution that's priced at the <$50 price range. But just for future reference or your curiosity, there are a few key reasons why users are comfortable with that pricing for our dataset, roughly in descending order of importance: This has...

We're onboarding users for our corporate actions dataset which includes split events - info here.

We've got SPY tick data (every trade) for 5 years, $78.16—free if you use your signup credit. ES is a bit more expensive.

Here you go: Python ✅ NQ front month ✅ 1 min granularity ✅ Self-signup, no need to wait for an email reply ✅ import databento as db client = db.Historical('YOUR_API_KEY') data = client.timeseries.get_range( dataset='GLBX.MDP3', # CME schema='ohlcv-1m', # 1-min...

Yes you can just specify whatever you want in your subscription request: import databento as db client = db.Live(key="YOUR_API_KEY") # Subscribe to 3 specific symbols client.subscribe( dataset="XNAS.ITCH", schema="trades", symbols=["NVDA", "AAPL", "SPY"], ) # Subscribe to the...

$11.56/month for all top-of-book changes and trades of the 10 most active tickers (see this page > Batch select all symbols on page > Click "MBP-1" and "Live").

We have both: databento.com You can find us on the official exchange distributor lists, e.g. CME, Nasdaq, IEX, ICE, etc.

With Databento: https://databento.com/docs/examples/equities/equities-premarket-movers/