A guide to market data symbology

August 03, 2023
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Our FAQs blog series aims to address user inquiries about the Databento portal, registration process, datasets, data formats, and more. In this article, we'll answer a common question: What is market data symbology?

Traders, investors, and financial institutions rely on symbology systems to accurately identify and interpret market data. Market data symbology serves as a language that enables seamless data exchange and facilitates informed decision-making. In this post, we delve into the intricacies of market data symbology, unraveling its significance and shedding light on its role in the global financial ecosystem.

Market data symbology is a structured set of codes and symbols used to represent various financial instruments and their attributes. It provides a consistent and unambiguous framework for identifying and categorizing instruments such as stocks, bonds, options, futures, and more. Symbology systems, such as ticker symbols and exchange codes, enable market participants to quickly identify and track specific assets across different trading venues and platforms.

Market data symbology offers several benefits that streamline data processing and analysis within the financial industry. These advantages include:

Symbology systems enable seamless integration of data from multiple sources by providing unique identifiers for each financial instrument. This allows traders and analysts to aggregate, compare, and analyze data accurately.

Symbology systems provide a concise representation of financial instruments, making it easier to display and interpret data on trading platforms, market screens, and analytical tools.

Symbology systems facilitate accurate and consistent identification of instruments, reducing the risk of data errors and improving the reliability of financial analyses.

Standardized symbology enables interoperability between different market participants, systems, and exchanges. This fosters efficient data exchange and supports seamless connectivity in global financial markets.

Market data symbology typically consists of key components, including:

Ticker symbols are alphabetic codes used to identify securities on exchanges uniquely. They provide a shorthand representation of the instrument's name and are widely used for quick reference.

MIC codes are abbreviated identifiers that represent specific trading venues ( such as a stock exchange) where instruments are listed and traded. MIC codes are an important part of symbology because the same instrument can be traded on different venues.

Unique identifiers, such as International Securities Identification Numbers (ISINs) and Financial Instrument Global Identifiers (FIGIs), are assigned to individual instruments to ensure global identification and eliminate ambiguities.

Option codes represent various attributes of options contracts, including expiration dates, strike prices, and call/put designations. These codes help traders identify and distinguish between different options contracts.

As mentioned above, financial datasets usually contain symbols or product identifiers. The mapping of symbols to their corresponding product names and properties can be extracted from the instrument definitions included in our data.

Databento supports four symbology types, also referred to as stypes:

  • Raw symbology (raw_symbol) preserves the original string symbols used by the publisher in the source data. This is also known as the instrument's 'ticker.' Examples include AAPLESH3, etc.
  • Parent symbology (parent) groups instruments by asset class for the same underlying product. Examples include all E-mini S&P 500 futures contracts ES.FUT, or options contracts ES.OPT.
  • Continuous contract symbology (continuous) refers to our proprietary smart symbology that specifies symbols based on certain systematic rules. This is convenient when looking at futures contracts, which have many active maturities at once. Continuous contracts allow the user to always track the next expiring contract, the contract with the most traded volume or the one with the highest open interest, which often happens when dealing with rollovers. Examples include ES.c.0CL.v.0, etc. For more about smart symbology, see our Knowledge base.
  • Instrument ID symbology (instrument_id) adopts the original, unique numeric ID assigned to each instrument by the publisher. Most venues use such numeric IDs under the hood. Numeric IDs have the benefit of taking less space than most string symbols. However, numeric IDs can be difficult to work with, especially as some publishers remap them daily.

Learn more about Databento market data symbology here.