OPRA

Dataset ID: OPRA.PILLAR

OPRA consolidates last sale, exchange BBO, and national BBO across all US equity options exchanges. Its top-of-book feed provides single-name stock, ETF, and index options, as well as some indices.

Asset class

Equity options

Venues

18 US equity options venues

Available history

13 years

Symbols

1,600,000+

Get started

Asset class

Equity options

Venues

18 US equity options venues

Available history

13 years

Symbols

1,600,000+

Products

Batch download

1-10 of 9,211
Rows per page
10
Advanced symbol selection via API

It’s easier to handle a large number of symbols using our API. Read our API guide ->

Specifications

Asset class

Equity options

Available from

2013-04-01

UTC

Symbols

1,600,000+

Historical data availability could vary between schemas.

Venue

Data category

Normalized market data

Schemas

CMBP-1, CBBO-1s, CBBO-1m, TCBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Statistics, Status, Definition

Encodings

DBN, JSON, CSV

Origin

Directly captured at Equinix NY4 (Secaucus, NJ) with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP.

Source resolution

Immediate publication, nanosecond-resolution timestamps

Databento resolution

Immediate publication, nanosecond-resolution timestamps

Release time

Access methodRelease timeLicense required
LiveReal-time
HistoricalDelayed 1 hour
HistoricalNext day 09:30

EST/EDT

Consolidated last sale and national BBO across all US equity options exchanges. Includes single name stock options (e.g. TSLA), options on ETFs (e.g. SPY, QQQ), index options (e.g. VIX), and some indices (e.g. SPIKE and VSPKE).

This dataset is based on the newer, binary OPRA feed after the migration to SIAC's OPRA Pillar SIP in 2021.

OPRA is notable for the size of its data and we recommend users to anticipate several terabytes of data per day for the full dataset in its highest granularity (CMBP-1).

Real-time data is included with any OPRA subscription. Historical data is available for usage-based rates or with any OPRA subscription. Explore pricing for more details or to upgrade your plan.

License

Live data

Live data is available with a subscription plan for OPRA.

A license is needed to access live data for this dataset per exchange requirements. In your portal, you can activate a new license or upload an existing one.

Databento can serve as your vendor of record (VoR) for this dataset. You may be eligible for instant approval, where we handle reporting on your behalf so you won’t have to secure a license directly with the exchange.

Historical data

A license isn’t required to access historical data.

Sample data

Schema

CMBP-1
CBBO-1s
TCBBO
Trades
OHLCV-1s
Statistics
Status
Definition

ts_recv

The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

flags

A bit field indicating event end, message characteristics, and data quality.

ts_event

The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

ts_in_delta

The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv.

rtype

The record type. Each schema corresponds with a single rtype value.

bid_px_00

The bid price at the top level.

publisher_id

The publisher ID assigned by Databento, which denotes dataset and venue.

ask_px_00

The ask price at the top level.

instrument_id

The numeric instrument ID.

bid_sz_00

The bid size at the top level.

action

The event action. Can be Add, Cancel, Modify, cleaR book, or Trade.

ask_sz_00

The ask size at the top level.

side

The side that initiates the event. Can be Ask for the sell aggressor in a trade, Bid for the buy aggressor in a trade, or None where no side is specified by the original trade or the record was not a trade.

bid_pb_00

The publisher_id indicating the venue containing the best bid.

price

The order price expressed as a signed integer where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

ask_pb_00

The publisher_id indicating the venue containing the best ask.

size

The order quantity.

symbol

The requested symbol for the instrument.

ts_recv
ts_event
rtype
publisher_id
instrument_id
action
side
price
size
flags
ts_in_delta
bid_px_00
ask_px_00
bid_sz_00
ask_sz_00
bid_pb_00
ask_pb_00
symbol

API examples

Python
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import databento as db
client = db.Historical("YOUR_API_KEY")

df = client.timeseries.get_range(
    dataset="OPRA.PILLAR",
    schema="cmbp-1",
    symbols="ALL_SYMBOLS",
    start="2023-08-17T15:00",
    limit=10_000,
).to_df()

print(df)
Output
See more in docs ->

Pricing

Usage-based

Pay as you go for historical data. Lowest cost to get started.

Pricing

Estimated - GB

Features

Historical data only

18 exchanges

13+ years of available history

All stock, ETF, index options

1,600,000+ symbols

Pay as you go

Standard

Popular

Frequently-used data. Ideal for individuals and small teams.

$199

per month
Monthly subscription

All Usage-based features, and:

No license fees

13+ years of

history

1 year of L1 history

Pay as you go for more history

Plus

Ideal for investment firms and institutional service providers.

$1,500

per month
Annual contract required

All Standard features, and:

External distribution

3 years of L1 history

Dedicated account manager

Dedicated connectivity

ACH and wire payments

Unlimited

Ideal for firms requiring complete history.

$4,000

per month
Annual contract required

All Plus features, and:

13+ years of L1 history

Compare all features

Historical data

18 exchanges

1,600,000+

13+ years

L0
L0
L0
L0
L1
L1
L1
L1

Live data

L0
L0
L0
L0
L1
L1
L1
L1

Billing

Billed monthly

Support

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