ICE Futures Europe and ICE Endex now available on Databento

January 18, 2024
Title picture for ICE Futures Europe and ICE Endex now available on Databento

We're excited to announce that Databento is now an authorized distributor of ICE data with the launch of our latest datasets:

The data is sourced from ICE's iMpact multicast data feed, the primary API for ICE futures and options market data. The feed is picked up at ICE's colocation facilities at 20 Cranes Farm Road in Basildon and 350 E Cermak in Chicago, and then transported over a private backbone to CyrusOne Aurora I, the site of CME's matching engine, for capture and redistribution. This arrangement provides Databento's users with consistent timestamping between CME and ICE's futures markets.

ICE Futures Europe is a global futures and options exchange offering contracts across oil, natural gas, power, soft commodities and interest rate derivatives and is home to ICE Brent which is used to price over three quarters of the world’s internationally traded crude oil and is the most liquid crude oil futures and options market in the world.

ICE Endex is the leading energy exchange in continental Europe. It covers a diverse range of energy products, including European gas, emissions, and power markets, providing valuable data for energy firms, EU ETS compliance entities, and financial participants to manage price risk effectively.

  • Real-time and intraday market data from the past 24 hours.
  • Instant approvals for real-time internal use. No exchange paperwork burden.
  • Historical coverage starting from December 23, 2018 and continuously available on a T+1 basis.
  • Multiple data schemas including full order book ( MBO ), market depth (MBP-10), last sale, OHLCV aggregates, and more.
  • High-fidelity capture with nanosecond-resolution hardware timestamps and PTP time synchronization .
  • Multiple encodings: CSV, JSON, and our ultra-fast compressed binary format, DBN. Learn about DBN here , or on our GitHub .
  • Support for batch flat file downloads, direct-to-application streaming, and market replay.
  • Point-in-time instrument definitions.

Users can navigate to the Live data page  in their portal to activate ICE Futures Europe live data or ICE Endex iMpact live data by uploading their existing license agreement or contacting us to start a new one. Exchange license fees for each feed start at $875/month.

Users can leverage the same APIs or client libraries with IFEU.IMPACT and NDEX.IMPACT as the dataset ID. For example, Python client users can start with the following to fetch all instrument definitions:

import databento as db

client = db.Historical(key='YOUR_API_KEY')
data = client.timeseries.get_range(
    dataset='IFEU.IMPACT',
    schema='definition',
    symbols='ALL_SYMBOLS',
    start='2018-05-01',
    end='2023-10-31'
)
import databento as db

client = db.Historical(key='YOUR_API_KEY')
data = client.timeseries.get_range(
    dataset='NDEX.IMPACT',
    schema='definition',
    symbols='ALL_SYMBOLS',
    start='2018-05-01',
    end='2023-10-31'
)