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Say you're running a backtest. In the backtest loop, events matched at t=t0 should only become visible and actionable to your strategy at some time t=t0+delta1, and if the strategy acts on that event, it should be matched with the state of the order book at t=t0+delta1+delta2. delta1+delta2 is...

We use Figma and people fundamentally underestimate how fast it has penetrated the design world. It's by far the preferred tool of practically every designer that has graduated in the last 2 years, and every major tech company we know has either switched to Figma from Sketch/XD or is in the...

Compression, serialization, load balancer, router/firewall throughput, I/O from storage to API server, congestion control algorithm on whatever's terminating TCP in the path etc. all have a significant effect on the message rate you're experiencing on client side, and these are more likely to be...

Only bandwidth, not latency. Full exchange order book data is about 98G (median) to 201G (peak) per day this year even after normalization and compression, and that figure will only increase over time, so it takes a significant amount of bandwidth to stream it even for historical use. That's a...

Feel free to ping me. We have historical data for the whole gamut: - Financial, interest rates, ags, metals, energies etc. on CME. - Any kind of granularity. Daily, 1 second, 1 minute, full order book, tick, and depth snapshots. - About 500-700k symbols including the spreads, combination...

By the way, we recently tested our Clickhouse cluster for a new use case and were able to run multiple queries with `sum` and `in` operations over 1.04B rows per second on a single client. This is faster than say, numbers advertised by Man AHL with Arctic, with much less hardware thrown at it...

The technology - yes, we designed it specifically for institutions. Most of the feedback and early testing has come from users who are at (or been at) the 30 largest prop firms and bulge bracket banks. And that's why you'll find that many of our features are only available in comparable products...

No problem. Yes you can select for only a specific schema, in both historical and real-time. That's how we homogenize the solution for both institutional and retail users: a retail user can subscribe to only very few things that they need to keep costs low, whereas our institutional users often...

That depends on the exact market in question. Our users will often incur non-display fees for US equities, options and futures feeds. But what we've seen is that there's a common misunderstanding here among many retail traders (and even vendors): Several exchanges interpret non-display by...

Here's a diagram breakdown of our latency. It's currently about 41~ mics through the stack till our load balancer and firewall. This diagram is a little outdated and shows <2 mills for the load balancer and firewall, but the min/mean/max through that is now 0.7/63.7/310 us after an upgrade we...

Haven't yet finalized a launch date publicly but it's likely to be between Aug 23 to Sep 13. It's quite hard to time our announcements and I understand it causes some frustration for some folks (@M.W.) and we hear you. Keep in mind it's mainly because of the sheer scale of moving pieces. (1) We...

Do you mean metrics data? Or metrics about the service itself (latency, amount of data etc.)? On exchanges that do provide static data like EOD volume, open interest etc., we do pass those on. On top of that we compute daily liquidity metrics (e.g. event counts, percentiles of touch depth...

Yes. The reason being that we see our main value-add as the infrastructure/technology layer, not as a data licensor. To be specific, we don't impose any licensing restrictions on our user agreements. For almost every market, once any of the data gets older than 24h, there's nothing on the...

Yes, we're in the midst of adding message schemas for imbalance, RPI and cross-trades as part of our recent integration of the NYSE Integrated prop feeds. We won't be providing raw data over internet. The reason being that it's impractical to distribute raw multicast data over sparse WAN links...

Thanks, we appreciate the feedback.

To preface, we haven't used CQG so we don't understand their offerings particularly well. However, we're very familiar with other data feeds catering to large institutions ranging in the $1.5k-$6k MRC per venue price range and have intentionally built up a superior stack to replace those feeds...

@M.W. @earth_imperator Thanks for the feedback. Actually, the reason that you don't see the pricing on our site is that (1) we've been in beta stage and haven't finalized pricing, and also (2) because we have a certain patent application that we wanted to file before making all of our UI designs...

Thanks Robert! We're initially covering US-based futures, spot FX and equities.

Databento is excited to officially introduce ourselves to the EliteTrader community! We're bringing you fast, lightweight access to both live and historical data from multiple markets. Our platform combines the highest institutional standards: direct feeds sourced from market colos, full market...

Institutional doesn't have to be more expensive. I'm obviously biased :) and will recommend our own product, but we're still in the stealth stage. But you could try Cboe DataShop if you're only after 1 min bars at a few hundred per month. Likewise, our pricing will be quite competitive to that...