Databento launches real-time CME data

Databento

Databento

Sponsor
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, except at a fraction of the cost.
  • Distributed directly from CME colo at Aurora I.
  • We're one of few official distributors of CME real-time data.
  • 5~400x faster end-to-end latency than any internet-based feed we've tested.
  • Benchmarks
    • Streaming full order book for 9,000+ most active symbols simultaneously ~40 Mbps
    • Median feed latency, i.e. Databento receive to Databento send
      • 6.1 microseconds (median)
      • 35.6 microseconds (90th)
    • End-to-end latency, i.e. exchange gateway publication to client application, with a low-cost VM (Azure, US North Central, Standard D2s v3)
      • 1.67 milliseconds (median)
  • Pass-through license fees
    • Individual
      • Non-pro, display or non-display: $32.65/mo
      • Pro, display: $479.20/mo
      • Pro, non-display: $740/mo
    • Corporate
      • Display: $479.20/mo/user
      • Non-display: Starting at $2,172/mo
  • Key features
    • Python, C++ clients with full build support for Linux and macOS.
    • No instrument limits. You can subscribe to any combination of symbols, up to the full order book of the entire venue (all 600k+ symbols at once).
    • Flexibility to subscribe to multiple schemas, including MBO, market depth, OHLCV aggregates, tick-by-tick trades, top-of-book, and point-in-time instrument definitions.
    • Nanosecond resolution, PTP timestamps.
    • Identical API and data format as our historical market replay interface. Use the same code in production and backtest.
PM me or email <sales@databento.com> for more info.
 
Very impressive. I highly welcome this sort of innovation. The existing players in the market data arena are either entirely targeting corporates at sky high prices or their retail products are incredibly lacking.

Databento said:
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, except at a fraction of the cost.
  • Distributed directly from CME colo at Aurora I.
  • We're one of few official distributors of CME real-time data.
  • 5~400x faster end-to-end latency than any internet-based feed we've tested.
  • Benchmarks
    • Streaming full order book for 9,000+ most active symbols simultaneously ~40 Mbps
    • Median feed latency, i.e. Databento receive to Databento send
      • 6.1 microseconds (median)
      • 35.6 microseconds (90th)
    • End-to-end latency, i.e. exchange gateway publication to client application, with a low-cost VM (Azure, US North Central, Standard D2s v3)
      • 1.67 milliseconds (median)
  • Pass-through license fees
    • Individual
      • Non-pro, display or non-display: $32.65/mo
      • Pro, display: $479.20/mo
      • Pro, non-display: $740/mo
    • Corporate
      • Display: $479.20/mo/user
      • Non-display: Starting at $2,172/mo
  • Key features
    • Python, C++ clients with full build support for Linux and macOS.
    • No instrument limits. You can subscribe to any combination of symbols, up to the full order book of the entire venue (all 600k+ symbols at once).
    • Flexibility to subscribe to multiple schemas, including MBO, market depth, OHLCV aggregates, tick-by-tick trades, top-of-book, and point-in-time instrument definitions.
    • Nanosecond resolution, PTP timestamps.
    • Identical API and data format as our historical market replay interface. Use the same code in production and backtest.
PM me or email <sales@databento.com> for more info.
More...
 
Hello, I agree, this looks like a welcome competition in the data space especially with full exchange data features down to message sequence ids from exchange allowing deterministic synchronization of depth/trade data. What is the total 'base' fee for a non-pro user that would allow the user to use your API for either live or historical data downloads from CME? Is it the $32.65/mo or some additional fees on top of that? Thank you. (it is understood that after the base fee there is a cost incurred based on amount (GB) of various data schemes being downloaded)
 
jelite said:
Hello, I agree, this looks like a welcome competition in the data space especially with full exchange data features down to message sequence ids from exchange allowing deterministic synchronization of depth/trade data. What is the total 'base' fee for a non-pro user that would allow the user to use your API for either live or historical data downloads from CME? Is it the $32.65/mo or some additional fees on top of that? Thank you. (it is understood that after the base fee there is a cost incurred based on amount (GB) of various data schemes being downloaded)
More...

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 intended to cover both use cases. This is something that causes some confusion as "display license" sounds like the opposite.

3. Yes, the "base fee" for non-pro real-time users is just $32.65/mo. You can check the CME's fee schedule here — this is just CME's fee that we pass through. We don't tack on any additional upcharge to it. As far as we know, we're the only vendor that passes the fees straight through and make $0 profit margin unless you actually use the data.

4. We haven't finalized our per GB fees for real-time data, but expect them to be around 1.0x to 1.5x of the current historical data fees.
 
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