Nasdaq TotalView-ITCH live data now available on Databento

November 17, 2023
Title picture for Nasdaq TotalView-ITCH live data now available on Databento

We're excited to announce the launch of Nasdaq TotalView-ITCH (XNAS.ITCH) live data. Nasdaq TotalView-ITCH is the proprietary data feed that provides full order book depth for Nasdaq market participants. The data is captured and distributed directly from our Equinix NY4 colocation, offering more insights into Nasdaq market activity than data sourced from the SIPs. This includes detailed information on every order in the book, enabling users to model quote lifetimes, queue dynamics, and depth at each price level.

Additionally, prop feeds like Nasdaq TotalView-ITCH are known for their latency advantage over the SIPs. By aggregating US equities prop feeds in NY4 with supplemental PTP timestamps, Databento avoids additional latency hops to the SIPs in Carteret and Mahwah and provides more precise insights into the consolidated state of the market.

Real-time and historical Nasdaq data is available over our Python, Rust, and C++ clients and market data APIs. All symbols—over 10,000 US stocks and ETFs–can be accessed with a single API call. The Nasdaq stock exchange represents about 1/8 of total daily trade volume and the largest single pool of liquidity in NMS stocks, with about 1.7B shares traded each day.

Our Nasdaq TotalView-ITCH coverage includes:

  • Real-time and intraday historical US equities data from the past 24 hours.
  • 5+ years of historical US equities data, starting from May 1, 2018 and continuously available on a T+1 basis.
  • Multiple data schemas: 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. ‍

Getting started with Nasdaq TotalView-ITCH

Live data

Users can navigate to the Live data page in their portal to activate Nasdaq live data by uploading their existing license agreement or contacting us to start a new one. This dataset is only available to commercial users with a business entity, and a license agreement with Nasdaq is required. Nasdaq doesn’t permit non-professional or individual users to start a license.

Historical data

You can use the same existing APIs or client libraries with XNAS.ITCH as the dataset ID. For example, Python client users can start with the following to fetch all instrument definitions.

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import databento as db

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

Explore coverage and get pricing, or contact sales to schedule a demo.

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