Introducing OPRA (US equity options) market data for our live and historical services

August 30, 2023
Title picture for US equity options data now available

We're excited to announce the latest addition to Databento's offerings: live and historical OPRA ( Options Price Reporting Authority ) data. The OPRA (US equity options) dataset provides consolidated trades and NBBO across US options venues, covering all 17 national exchanges. This not only includes options on single name equities, but also on indices, e.g., Cboe VIX options, SPX options, and certain volatility benchmark indices like SPIKE and VSPKE.

The data is captured and published at our Equinix NY4 colo and is available over our Python, Rust, and C++ clients and market data APIs. All symbols—options for over 8,000 US equities and indices—can be accessed with a single API call. Together with our existing datasets, this extends our coverage to over 2 million active symbols on any given day.

  • Consolidated last sale, exchange BBO, and national BBO across all US equity options exchanges (over 1 million instruments)
  • Historical options data, starting from March 28, 2023, and continuously available on a T+1 basis
  • Real-time and intraday historical options 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 here or from our GitHub .
  • 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

To start using OPRA, you can use the same existing APIs or client libraries with OPRA.PILLAR 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='OPRA.PILLAR',
    schema='definition',
    symbols='ALL_SYMBOLS',
    start='2023-08-16',
    end='2023-08-16'
)

Users can navigate to the Live data page in your portal to activate live OPRA data. After you answer a short questionnaire, Databento determines your subscriber status and auto-generates your contracts to meet venue licensing requirements. License fees are passed through with a month-to-month commitment, and you can begin streaming live data on your specified start date (either immediately or on the first of the next calendar month).