Databento launches NASDAQ TotalView-ITCH data

[DBSpider]

First let me say from the first glance this service looks like the most attractive and cost-effective historical+live data vendor for retail algorithmic traders, with a small caveat: When you are fine with only actively trading mostly a handful of symbols. With that in mind, it seems to beat everything.

Where else can i get ES Futures full MBO data for historical and for like 20$ each a month?! If i understand this correctly?
So i would buy like 1 or 2 years of MBO data upfront for like 500$, base my strategy on that data and after that i only have a recurring cost ~20$ monthly plus CME non-professional exchange fees (11$)? So round and about 30$ monthly. Right?

And on top of that i get that data via API and can consume it with python.. locally. I am not "imprisoned" in a cloud and i am not enforced to use the scripting language of a trading platform or cheat the platform to get my data into my python pipeline somehow.

Also i can look at the API right now.. on github. It is not behind closed doors, where i have to pay and ask for documentation up front before i can decide if i like it or not. A dream.

I am spelling this all out because i can't quite believe it. So if i am hallucinating please someone wake me up!

Anyway. I joined the waiting list and got accepted for the test-phase. I am now looking around on how to spend my free credits.
I wanted to download some data for ETFs (SPY/QQQ) from the NASDAQ TotalView data.
But somehow it does show that there are 0 Bytes of data if i try to select data on the platform. It does work for equities like AAPL or MSFT, but i am not able to download SPY for example.
Am i doing something wrong? (I tried the same timeframe / datatype. MSFT works, SPY does not, or any other ETF).

Thanks

 

[Databento]

First let me say from the first glance this service looks like the most attractive and cost-effective historical+live data vendor for retail algorithmic traders, with a small caveat: When you are fine with only actively trading mostly a handful of symbols. With that in mind, it seems to beat everything.

Thank you so much. It's words like this that really get us going. I've shared your message with the team.

Your pricing feedback is most helpful. A main reason we've not yet opened to public signups is that we're still refining our pricing to make it work along the full adoption curve, from institutional users making up to 30% of the market volume, to free users coming from Yahoo Finance. Admittedly, the data can be a bit expensive if you're trying to consume the full venue and it's something we're working on.

Where else can i get ES Futures full MBO data for historical and for like 20$ each a month?! If i understand this correctly?

You're exactly right.

I wanted to download some data for ETFs (SPY/QQQ) from the NASDAQ TotalView data.
But somehow it does show that there are 0 Bytes of data if i try to select data on the platform. It does work for equities like AAPL or MSFT, but i am not able to download SPY for example.
Am i doing something wrong? (I tried the same timeframe / datatype. MSFT works, SPY does not, or any other ETF).

You found a bug with our frontend. A fix is underway and I'll get back to you later today.

The bug doesn't affect our API itself. SPY data is actually available on the API, and the `metadata.get_billable_size` and `metadata.get_cost` methods will also return the right values. You can also tell that the data actually exists from the chart and sample data on SPY's instrument detail page.

It seems that the problem is that our frontend accidentally treats the ETF as some kind of futures contract, and ends up calling our size calculation API with the wrong symbol (`SPY.undefined` rather than `SPY`).

By the way, do feel free to use our Intercom chat support whenever you encounter an issue like this. That will you'll be assured to get a follow-up when we've fixed the issue.

Anyway. I joined the waiting list and got accepted for the test-phase. I am now looking around on how to spend my free credits.

Awesome, feel free to message me if you need anything.

 

[DBSpider]

By the way, do feel free to use our Intercom chat support whenever you encounter an issue like this. That will you'll be assured to get a follow-up when we've fixed the issue.

Thank you for the quick response. Will do that in the future.

I'm excited to dive in to the data like a mad data scientist