Nasdaq TotalView-ITCH now available on Databento!

The data is captured directly at our Equinix NY4 colo and is available over our Python/C++ clients and HTTP API. All symbols – over 8,000 US stocks and ETFs – can be accessed with a single API call. The Nasdaq stock exchange represents about 1/8th of total daily trade volume, with ~1.7B shares traded each day and the largest single liquidity pool in the US.

Our Nasdaq TotalView-ITCH coverage also includes:

• Historical data, starting from May 1, 2018
• Continuously available on a T+1 basis
• Multiple data schemas – full order book (MBO), market depth (MBP), last sale, OHLCV aggregates, and more
• Point-in-time instrument definitions
• Nanosecond-resolution hardware timestamps with PTP time synchronization
• Multiple encodings, including CSV, JSON, and our ultra-fast compressed binary format, DBN. You can learn more about DBN here, or on our Github.
• Support for batch flat file downloads, direct-to-application streaming, and full order book replay

With complete depth-of-book, this dataset offers a comprehensive view of all displayed orders for Nasdaq, NYSE, and regional instruments that have at least three times the liquidity within 0.05% of the top-of-book (includes all buy and sell orders per instrument, along with their respective sizes and prices, that are within 0.05% of the best bid or offer price in the market). This enables users to see the full range of orders available in the market and supports informed, optimized trading decisions.

‍Odd lots—traded quantities below a fixed amount, typically 100 shares—are often omitted from feeds. While these trades may be small, the accumulated error can be significant. Databento provides odd-lot messaging so you can get a clearer view of the market, identify finer signals sooner, and react with greater confidence and precision. ‍

‍Opening and closing actions move quickly, with large order volumes setting the tone for the entire day. Although many of these orders are placed well in advance, they are not visible outside of the market’s official hours. Databento exposes crucial auction imbalance messaging required to understand liquidity and market movements during these critical windows.

Databento's self-service model allows users to instantly pick up live exchange feeds and terabytes of historical data – and only pay for what they use. Similar to a cloud compute or electricity bill, our pricing is metered and usage-based ($/GB). Most of our users save thousands of dollars per month, and new sign-ups receive $125 of historical data credits to try Databento for free.

With Databento, you can search, view details and pricing, and download data instantly. Get all instruments or choose up to 2,000 instruments per request. Stream data directly (API and multiple protocols supported), or set up a batch file download (FTP and browser support).

For no additional cost, the Databento portal includes features like Team management and Data usage. Invite unlimited teammates for shared data access, set team budgets, and navigate to the Data usage page to audit metrics like the % cost per user, dataset, or key.