Databento launches real-time and historical APIs for US equity options at $1/month

[Databento]

I'm excited to announce the latest addition to Databento's offerings: live and historical for all 16 US equity options exchanges through OPRA.

This latest release widens our coverage to all 16 US options exchanges and popular instruments like Cboe VIX options, SPX options, options on single name equities like TSLA/QQQ/SPY, and volatility benchmark indices like SPIKE and VSPKE.

Furthermore, thanks to our usage-based pricing model and efficient infrastructure built on years of experience in high-frequency market making, we're completely leveling the market data industry by making it practically free to get started, with only a pass-through OPRA license fee of $1.25/month to access our real-time API for non-professional use, and usage-based fees as low as $0.02/month.

Features include:

• Consolidated last sale, exchange BBO, and national BBO across all US equity options exchanges (over 1 million instruments).
• Historical data, starting from March 28, 2023, and continuously available on a T+1 basis.
• Real-time and intraday historical data from the past 24 hours with self-service licensing.
• Multiple data schemas: top of book (MBP-1); last sale; OHLCV aggregates at 1 second, 1 minute, 1 hour, and daily intervals; statistics; instrument definitions; and more.
• High-fidelity capture with nanosecond-resolution hardware timestamps and PTP time synchronization.
• Point-in-time instrument definitions and timestamping: events are timestamped and sequenced as received in real-time to mitigate lookahead errors.
• Multiple encodings, including CSV, JSON, and our ultra-fast compressed binary format, DBN. You can learn about DBN from our GitHub or documentation.
• Support for batch flat file downloads, direct-to-application streaming, and full market replay.
• Raw PCAP files: contact us via chat support or at sales@databento.com for more information

Check out our OPRA dataset here; its API documentation here, and this full announcement on our blog.

 

[arbs-r-us]

I'm excited to announce the latest addition to Databento's offerings: live and historical for all 16 US equity options exchanges through OPRA.

This latest release widens our coverage to all 16 US options exchanges and popular instruments like Cboe VIX options, SPX options, options on single name equities like TSLA/QQQ/SPY, and volatility benchmark indices like SPIKE and VSPKE.

Furthermore, thanks to our usage-based pricing model and efficient infrastructure built on years of experience in high-frequency market making, we're completely leveling the market data industry by making it practically free to get started, with only a pass-through OPRA license fee of $1.25/month to access our real-time API for non-professional use, and usage-based fees as low as $0.02/month.

Features include:

• Consolidated last sale, exchange BBO, and national BBO across all US equity options exchanges (over 1 million instruments).
• Historical data, starting from March 28, 2023, and continuously available on a T+1 basis.
• Real-time and intraday historical data from the past 24 hours with self-service licensing.
• Multiple data schemas: top of book (MBP-1); last sale; OHLCV aggregates at 1 second, 1 minute, 1 hour, and daily intervals; statistics; instrument definitions; and more.
• High-fidelity capture with nanosecond-resolution hardware timestamps and PTP time synchronization.
• Point-in-time instrument definitions and timestamping: events are timestamped and sequenced as received in real-time to mitigate lookahead errors.
• Multiple encodings, including CSV, JSON, and our ultra-fast compressed binary format, DBN. You can learn about DBN from our GitHub or documentation.
• Support for batch flat file downloads, direct-to-application streaming, and full market replay.
• Raw PCAP files: contact us via chat support or at sales@databento.com for more information

Check out our OPRA dataset here; its API documentation here, and this full announcement on our blog.

Realtime, as in you can deliver 20m+ quotes/second?? Really?

 

[Databento]

Realtime, as in you can deliver 20m+ quotes/second?? Really?

Yes. The raw feed is about 3-5 Gbps per side at average rate, normalization shrinks this down substantially and buffering manages the spikes.

With that said, at this time we recommend getting a dedicated interconnect to our gateway if you plan on consuming the full feed in production because it will get backed up due to TCP flow control if your bandwidth is limited or the client application is reading too slow.

 

[traider]

Do you have similar offering for normal equities? If not ready when will you launch it

 

[Databento]

Do you have similar offering for normal equities? If not ready when will you launch it

Yes, we currently only have Nasdaq historical but we're launching all of US equities, historical and real-time, in parts over the course of the next 4-8 weeks.

 

[arbs-r-us]

Yes. The raw feed is about 3-5 Gbps per side at average rate, normalization shrinks this down substantially and buffering manages the spikes.

With that said, at this time we recommend getting a dedicated interconnect to our gateway if you plan on consuming the full feed in production because it will get backed up due to TCP flow control if your bandwidth is limited or the client application is reading too slow.

Buffering? Really? What if you can't tolerate such? Why have a realtime feed if it's late? How much bandwidth to assure none of that? And what do you mean by "per side"?

 

[arbs-r-us]

Buffering? Really? What if you can't tolerate such? Why have a realtime feed if it's late? How much bandwidth to assure none of that? And what do you mean by "per side"?

And what is the price for all of the magnificence?

 

[Databento]

Buffering? Really? What if you can't tolerate such? Why have a realtime feed if it's late? How much bandwidth to assure none of that? And what do you mean by "per side"?

We had a few reasons for this design.

We ruled out mixing UDP/TCP or building a reliable protocol over UDP like QUIC/Aeron on v0 of our feed because we have hedge fund and prop firm clients who don't want to install a third-party library or binary, so we needed to keep the protocol open-source and so simple that you could literally test it with telnet.

It's a myth that UDP and conflation always achieves lower latency. TCP is more efficient in environments with limited bandwidth, network congestion, and a large proportion of small messages—because it allows for buffering of data messages to fill a full network segment.

And buffering doesn't mean it's late. We have users getting max latency of 2 ms from exchange handoff to client read over an entire day, which is nearly 10x faster than the median latency of other institutional normalized feeds like Bloomberg B-PIPE. For the same reason, TCP is used on the primary feeds of some venues even for low latency trading, e.g. Cboe FX.

How much bandwidth to assure none of that? And what do you mean by "per side"?

Our dedicated interconnects are 1 Gbps and should be more than enough.

Binary OPRA is based on Pillar so it has two sides for A/B arbitration, i.e. the throughput on a single side gives you a good sense of the size of the raw feed if delivered over TCP; normalization cuts this down.

And what is the price for all of the magnificence?

We pass through the license fees, which varies with user and starts at $1.25/month for non-professional users. So if you only need a small amount of data, like all of SPX+VIX option chains, that's a total of $(1.25+23.65)=$24.90/month.

If you need a lot of symbols, we recommend our flat-rate subscription which is $4,000 per month.

 

[traider]

Can you let me know how to calculate $23.65 from the respective feeds so I can estimate costs

 

[Databento]

Can you let me know how to calculate $23.65 from the respective feeds so I can estimate costs

Go to our website, scroll down to OPRA, then select the instruments you want from it. This dropdown will appear and you can get both historical and live pricing from it.