NYSE Integrated

NYSE Integrated is a proprietary data feed that disseminates full order book depth from the New York Stock Exchange (XNYS). It delivers every quote and order at each price level.

Included in all Databento US Equities plans for a complete view of the market

View pricing Get sample data

SPECS

Venue

NYSE

Asset class

Equities

Symbols

20,000+

Coverage

Historical

Live

History

8 years

Starting May 1, 2018

Data formats

Full order book, Imbalance, Market by price, Top of book

View 7 more

Used by 3,000+ leading firms and high-growth startups

NYSE data, directly from the source

Our market data solutions provide 15+ normalized formats across every venue on Databento, plus raw PCAPs and dedicated connectivity options.

Market data APIs

One API for live and historical data across equities, futures, and options. Python, C++, and Rust clients included.

Flat files

Point and click to download historical data—no code required. Export as CSV, JSON, or binary flat files.

Raw data

Lossless packet capture (PCAP) files in native wire format with nanosecond-resolution hardware timestamps.

Overview

About NYSE Integrated

MSFT GOOGL TSLA SPY QQQ + 20k symbols

NYSE Integrated is a proprietary market data feed that provides full order book depth for securities traded on the exchange’s PILLAR platform. NYSE is a primary listing exchange for many large-cap and blue-chip companies, but it covers activity across all NMS securities on the venue. It includes depth-of-book updates, trades, order imbalances, status messages, and other events needed to reconstruct a full order book.

Full order book data can be used to analyze liquidity behavior, queue dynamics, and order flow across price levels. Executions can be evaluated against the state of the book to determine trade aggressor side, while odd-lot activity provides a more complete view of displayed liquidity than top-of-book data alone.

This feed also includes imbalance data for NYSE’s opening and closing auctions, which is important for understanding how buy and sell interest develops around major liquidity events.

It's also the only exchange with Designated Market Maker (DMM) privileges, which allow floor brokers to submit Discretionary Orders (D-Quotes). Most D-Quotes are entered after 3:50 PM for the Closing Auction, when floor interest accounts for over 40% of total volume.

Complete US equities coverage

This dataset is part of our Databento US Equities service, which covers 15 exchanges and 30 ATSs. Learn more →

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Get started in 4 lines of code

The fastest market data integration. Build your first application and request data in under 3 minutes, in any language.

EXAMPLES

An API for any equities trading workflow

Order book

Auction imbalance

Pre-market & after-hours

ETFs

See more examples

Python

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

data = client.timeseries.get_range(
    dataset="XNYS.PILLAR",
    schema="mbo",
    symbols="SPY",
    start="2023-08-25",
    limit=10_000,
)
print(data.to_df())

See more examples

Find average spread for a symbol

Find the average spread for a symbol across the different equity venues.

Calculate synthetic NBBO

Consolidate MBP-1 from prop feeds to get an improved microprice vs. SIP NBBO.

Get daily closing prices for equities

Retrieve the official consolidated closing prices for US equities.

Download NYSE sample data

Preview real sample files before you integrate. See how NYSE Integrated extends beyond the top-of-book data available through SIP feeds, with full order book (L3) granularity.

Schema	Description	Sample file size	Sample download
L3 Market by order	Full order book data, including all buy and sell orders at every price level.	183.3 MB	Spec
L2 Market by price (MBP-10)	Aggregated book depth with every trade and book update at top ten price levels.	485.7 MB	Spec
L1 Market by price (MBP-1)	Aggregated book depth with every trade and book update at the top of book (BBO).	121.5 MB	Spec
L1 BBO on trade	Every trade event alongside the BBO immediately before each trade.	5.1 MB	Spec
L1 BBO on interval	Last best bid, best offer, and sale on 1-second or 1-minute intervals.	4.0 MB	Spec
L1 Trades	Every trade event, tick-by-tick.	3.8 MB	Spec
L1 OHLCV bars	Open, high, low, close prices with volume in second, minute, hour, or daily intervals.	1.0 MB	Spec
L0 Instrument definitions	Properties like symbol, instrument name, expiration date, tick size, and strike price.	1.4 KB	Spec
L0 Statistics	Daily instrument statistics like open interest and official settlement prices.	146.0 B	Spec
L0 Status	Trading session updates like halts, pauses, short-selling restrictions, and auction start.	764.0 B	Spec
L3 Imbalance	Auction imbalance data like paired quantity, total quantity, and auction status.	347.0 B	Spec

Build with the best market data API

Integrate faster with APIs that work in any language, plus client libraries for Python, Rust, and C++.

Nanosecond-resolution timestamps

Up to four timestamps for every event, with sub-microsecond accuracy between venues.

Full order book

Get the highest granularity view of the market with every order at every price level.

Over 19 PB of coverage

Access more than 15 years of historical and live data from over 70 venues worldwide.

Flexible pricing

Only pay for what you use, or get unlimited access with a subscription plan.

Direct from the source

Sourced from raw feeds at our Equinix NY4, FR2, and Aurora I colocation sites.

Self-service onboarding

Skip the sales call. Access your first dataset in as little as 3 minutes.

What our users are saying

"Databento’s advanced technology and highly customizable market data offerings are going to be a game changer for a wide variety of market data users across the ever-evolving financial industry."

Michael Tung, Investments Lead

Belvedere Trading

"The documentation is awesome. It's easy to read, clean, and modern."

Rick Zhan, VP Quant Research

Quant hedge fund ($50B+ AUM)

"Finally a vendor that knows what they are doing because [...] they occupied the same seat as their target customers."

Paul Aston, Founder

Tixall Global Advisors, LLC

"I've worked with many third-party financial data providers over the years—Reuters, Activ, Bloomberg, Exegy, Redline, Quanthouse, Quincy—but Databento is the first market data provider I have ever seen that is truly an "as-a-service" solution for professional-grade market data."

Brett Harrison, Founder

Architect

"With Databento, I can get anything I want in 5 minutes. The data quality, flexible formats, and competitive pricing policy have set Databento apart."

Nikita Ostroverkhov, Algo Trading

MA Investments

"It's so much easier to get data into my spreadsheets now."

V. Chen, Equity Research Associate

Top 4 investment bank (by assets)

"Productizing high-fidelity market data is hard—your data models, delivery options, and documentation consistency all matter for creating amazing developer ergonomics. Databento is excelling on all these fronts."

Chris Pento, Co-founder and CEO

Clear Street

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Matt Papakipos

Creator of Chrome OS, Google

"Databento makes it really easy to get data in my data exploration workflows and Jupyter notebooks."

C. Garcia, Senior Quant Researcher

Top 3 options market maker (by volume)

Pricing

NYSE Integrated is part of our Databento US Equities service

NYSE Integrated historical data is available for usage-based rates or with any Databento US Equities subscription.

Real-time NYSE Integrated imbalance data is included with a Plus or Unlimited plan.

Frequently asked questions

What auction imbalance data does NYSE Integrated include?

Both the opening and closing auctions. Closing imbalance dissemination begins at 3:50 PM ET, with messages published once per second when fields change. Each message carries the reference price, paired quantity, total imbalance quantity and side, indicative clearing price, and auction collars.

Can I license NYSE auction imbalance data without the full Integrated feed?

Yes. NYSE Order Imbalances is available as a separate licensing tier restricted to the imbalance and definition schemas, starting at $1,000 per month versus upwards of $7,500 per month in non-display fees for the full Integrated feed. The same option exists for NYSE Arca and NYSE American.

New users get $125 in free credits

Free credit applies to all of our historical data and subscription plans.