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^ Yes, we also have NYSE, NYSE American, and NYSE Arca imbalance data since 2018, and have recently been approved for real-time distribution of all of them. We're holding off on launching these until we're close to releasing real-time data — keep in mind that the non-display fees are quite hefty...

I'm excited to announce that we've launched auction imbalance data for US equities on Databento, starting with Nasdaq. We'll be rolling out the same for other US equities trading venues over the next three months. Why is this important? Most data providers source their US equities data from the...

Passing on the message from one of our teammates, who has raised from large institutional fund investors and also dealt with regulatory audits: This is not legal advice but personal experience. This is mostly from a US setting. No, as unintuitive as it sounds, you do not require audited...

You can see the fees here. Honestly in the grand scheme of things, the most important part is just that being a professional user automatically puts you in the crosshairs for non-display fees, so that's the part I'd be most cautious about. Another thing people don't realize is that licensing...

Agreed with @qlai, your commissions should remain unchanged, but your data fees may change. However, if you trade exclusively on CME options on futures, keep in mind CME has a non-professional self-certification process which allows small business entities to remain considered a...

databento.com Around $0.03 for daily OHLC full exchange data, probably about 8,000-10,000 active tickers on any given day, and you can extract all of it in a single API call. Besides that, a main difference is that we're a direct licensed distributor from the trading venues, whereas most...

Still the same list of recommended non-bulge bracket PBs above. Besides that I forgot to name FC Stone, which also has very reasonable commissions. A shameless plug: If you can afford to wait a bit, we (Databento) are about to launch historical and live data APIs for all lit US equities venues...

Hi everyone, Databento is proud to announce our partnership with OpenBB, an open-source and Python-based platform for investment research. You can now access our data through OpenBB Terminal v2.5.0 and onwards. At this time, a wide range of futures symbols on OpenBB are exclusively available...

The easiest way to know is to talk to their sales reps. We just happen to know by recent experience because we take all of the prop feeds. But you can search for terms like "data policy" or "data license agreement" and find each venue's market data licensing policy. For example, NYSE's is here...

In no particular order, if you're avoiding PBs associated with bulge bracket banks, some options include Cowen (former Convergex), Jefferies, Clear Street, Rosenblatt Securities, WEX, Virtu (ITG). Most of which offer a combination of high-touch agency execution and low touch electronic...

You have to be more specific. If it's simply 1 price level being taken out, markets usually exhibit strong negative autocorrelation on the next price change so you'll have better odds on the the level replenishing or mean reversion.

If you can afford to wait 2 months when we roll this out, I'd highly recommend our own real-time feed. It is configurable and you can choose to see the whole book (via MBO) or snapshots of top 10 levels of the book (MBP-10) whenever you please, just like our historical data.

databento.com $388.38 (after credit) for 2 years, tick-by-tick, and includes every expiration — not just 1-2 lead month contracts — and spread contract each day. Cheaper if you use our API and discard the spreads or expirations that you don't want. We're also the only source I know that...

Oh sorry, misread. That's pretty easy too, just switch out the last 2 lines: df['range'] = df['high'] - df['low'] df['atr14'] = df['range'].rolling(14).mean() # Only last 5 hours of each day df = df.between_time('12:00', '17:00') Result: ts_event 2022-12-19 12:00:00-05:00 11.089286...

Well, VMA, Onload/ef_vi and Mellanox DPDK are the most common. Keep in mind userspace implies outside the kernel, so they're not technically "Linux", but "Linux-compatible".

@spy No one's disagreeing with you that there's no formal definition of "HFT". All I said is that my teammates worked at several of the firms named here, among others, all of which pass the 2% ADV threshold I mentioned: And yes we get any further cynicism: they could've been doing back office...

I don't have any color on the SIPs' implementation. We've heard that they use a Solarflare kernel bypass stack for the latest iteration of it, but that's purely hearsay. (Edit: Last we checked, they were in the 18-30 mics median range, which is on the high side for this, but on the low side...

We mean it in the conventional sense: firms doing at least 2+% ADV in any given market. Roughly the top 30 firms in the US/Europe by trade frequency.

On most venues, order messages are sent over a TCP session while data messages are sent over UDP multicast. The trading participant can send or receive these messages through the specialized NIC and its userspace networking stack. Besides software optimizations, this networking stack takes...

This is common verbiage for saying that you bypass the kernel's TCP/IP stack by using a userspace driver instead. This does significantly improve latency, also noticeably increases the maximum packet rate, and is a common practice in this space. The performance limitations with the kernel...