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I'm proud to announce that we've launched our official Rust client library this week. Check it out on GitHub here. We chose to support Rust due to its ideal properties for financial trading systems, with manual memory management, predictable performance, easy access to low-level facilities...

Our CME history goes back to 2017-05-21. If you only want GE end-of-day it's just $3.29 for 5 years. Tick data is a bit higher, at $95.61 for 5 years. You can select the instruments of interest and fetch pricing on our site. I should point out that I think SOFR futures have become the de...

Interesting, thanks for sharing. It seems the single-file limitation is the primary trade-off here. In our case we need horizontal scale-out, but a single server/file is plenty for most users and use cases. Polars is nice. We're one of their official sponsors. ;)

We've not used TimeBase but it looks like it's a proprietary software by Deltix. Deltix itself is a reasonably good company, but we don't have data points beyond that. We just use our own open-source file format (Databento Binary Encoding) for exactly the purpose you've described—it serves as...

We don't have a direct integration with NinjaTrader. You'd have to either use our HTTP API or Raw TCP API in C# to integrate us in NinjaTrader.

We don't currently provide Indian markets. We're focused on building a great experience for US futures, equities, spot FX, and fixed income first up till Q1 2024. Asia and Europe are on the horizon after our next venture funding round and if we go after BSE and NSE, it will come earliest in Q3...

Depends on the volume you can do, $250k to $1M.

Unfortunately no, that's essentially what our historical API is for. Unlike most other vendors you've probably come across, our historical and live message schemas are 100% identical, so that you can use the same code for historical and live, and you can just feed your code into the replay API...

After a month of successful testing, we're now opening our real-time feed service to all users! You can now start your subscription on your own through our user portal. It only takes a few minutes: Create a Databento account Go to the Licensing page Click Start a new license. We're...

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74.75 makes more sense. It is significantly above the midprice of 62.5.

No, this is correct. You can do a sanity check yourself: the theoretical price (microprice) should be higher when there's stronger buying interest (larger bid size), and lower when there's stronger selling interest (larger ask size). The ask price is always larger than the bid price, so you...

Thanks! 1. CME doesn't require a license to get historical data. Hence, there's also no "base fee" for historical data. 2. A non-pro user can freely use our API on a regular display license. Currently, CME doesn't have a non-display license category for non-pros as the display license is...

Real-time data is now available through Databento Live, starting with CME futures and options, and we're accepting early testers. Databento Live is an extremely fast, normalized feed that can push the full order book of the entire venue over a regular internet connection — like a direct feed...

You could try us: databento.com Quick tear sheet: Official Python, C++ support. Free to start. Goes 6+ years back. We have institutional users managing a combined $100B+ AUM using us. We also support non-professional users; we're the sole provider of futures data for OpenBB, and are partnered...

Nice, I'm glad it worked out for you, and thanks for the update. Unfortunately, we don't. Fed releases and other macro releases are difficult because there are premium feeds like AlphaFlash specifically optimized to monetize those events and deliver them from the embargo facility, e.g. K St...

No, they both have the ES futures contract as underlying. EW is the monthly contract, whereas EW3 is one of the weekly contracts. They differ by expiration date — last business day of the month vs Friday of the contract week (third week, in this case).

pandas 2.0 is out today, and we're excited to see substantial performance improvements brought by the new Apache Arrow backend. If you don't already know, Databento's Python client library has had native support for pandas dataframes for a while! For example, fetching all ticks within a day...

Yes it will be, and we only bill a user for the amount of data that they consume, so it will be much cheaper to subscribe to specific option chains than the full full feed.

For real-time OPRA data: Our usage-based fees will be about $1,500-$3,000 per month for the full feed (all trades and quotes, all symbols). Most of our users aren't consuming all symbols on the full feed. For example, we have a quant hedge fund consuming only about 10% of all CME options. So...