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Examples

Basics

Most-read docs for common Python, C++, and Rust use cases.

HISTORICAL DATA

Best bid, best offer, and midprice

Benchmark portfolio performance

Custom OHLCV bars from trades

LIVE DATA

Stream live data to a file

Handle multiple record types

Estimate latency

Advanced applications

Develop systematic strategies and algorithmic trading applications.

HISTORICAL DATA

Limit order book construction

Execution slippage and markouts

Machine learning prediction models

LIVE DATA

A high-frequency liquidty-taking strategy

Symbology mapping for live data

Calculate TICK and TRIN indicators

Python

Find liquid instruments

Create a candlestick plot

Benchmark portfolio performance

Top pre-market movers

Matching engine latencies

Estimate implied volatility

C++

Best bid, best offer, and midprice

Programmatic batch downloads

Rust

Types of order book events

End-of-day pricing and portfolio valuation

Can't find an example for your use case? Our team can help. Contact support or join our Slack community to chat with developers.

Equities

Equities: Introduction

Get started with equities data by fetching top-of-book quotes and last sale.

Equities

Historical

Top pre-market movers

Get a ranking of the biggest gainers in the Nasdaq pre-market session.

Equities

Historical

Find average spread for a symbol

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

Equities

Historical

Calculate synthetic NBBO from prop feeds

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

Historical

Futures

Futures: Introduction

Get started with futures and symbology. Volumes, tick size, expirations, and more.

Futures

Historical

Volume, open interest, and settlement prices

Retrieve volume, open interest, and settlement prices from the statistics schema.

Futures

Historical

Futures trading hours

Get trading hours for a futures product.

Futures

Historical

Get options chain for a futures product

Get daily, weekly, and monthly options for a futures product.

Futures

Historical

Options

Equity options: Introduction

Get started with stock options data. Fetch options chains, strikes, expirations, NBBO.

Options

Historical

Options on futures: Introduction

Get started with options on futures data. Fetch options chains, strikes, expirations.

Options

Historical

All options with a given underlying

Find all the quarterly, monthly (serial), weekly, and daily options of an underlying.

Options

Historical

Join options with underlying prices

Get front month outright options and join with the latest underlying futures quotes.

Options

Historical

US equity options volume by venue

Compare volume across all venues in the US equity options market using pandas.

Options

Historical

Resample US equity options NBBO

Fetch NBBO and downsample to 1-minute intervals for all options in a chain.

Options

Historical

Estimate implied volatility

Compute and graph implied volatility from options prices.

Options

Historical

Get symbols for 0DTE options

Get a list of 0DTE options for a product.

Options

Historical

Live

Calculate daily statistics for equity options

Calculate volume and open interest for an equity options chain.

Options

Historical

Live data

Handle multiple record types

Handle different record types using callbacks.

Live

Stream live data to a file

Write and save live data to a file.

Live

Estimate Databento feed latency

Get time between our servers and your real-time application.

Live

Calculate TICK and TRIN indicators

Compute market TICK and TRading INdex on real-time trades.

Live

Subscribe to MBO snapshot

Get the latest order book state without replaying the entire trading session.

Live

Compare on-exchange and off-exchange trade volume

Compare the volumes of the different venues of Nasdaq Basic with NLS Plus.

Live

Historical data

Request a large number of symbols

Get multiple symbols or a firehose of all symbols traded on a venue.

Historical

Programmatic batch downloads

Request and download batch files programmatically.

Historical

Best bid, best offer, and midprice

Calculate midprice using BBO from MBP-1 or TBBO data.

Historical

Custom OHLCV bars from trades

Resample trades data to construct custom OHLCV bars.

Historical

Join schemas on instrument ID

Augment price data with instrument definitions by joining on instrument ID.

Historical

Plot a candlestick chart

Visualize OHLCV data on a candlestick chart.

Historical

Calculate VWAP and RSI

Compute the volume-weighted average price and relative strength indicator.

Historical

End-of-day pricing and portfolio valuation

Get mark-to-market valuation of a portfolio at end of day.

Historical

Benchmark portfolio performance

Calculate metrics like risk-adjusted return and Sharpe ratio of a portfolio.

Historical

Market halts, volatility interrupts, and price bands

Handle trading halts using status messages.

Historical

Resample OHLCV from 1-minute to 5-minute

Forward-fill gaps from intervals with no trades, then resample to 5-minute bars.

Historical

Symbology

Continuous contracts

Get symbols by lead month and handle rollovers using continuous symbology.

Futures

Historical

Parent symbology

Get all symbols with the same product root or option chains using parent symbology.

Historical

Symbology mapping for live data

Convert between instrument IDs and raw symbols.

Live

Dataset symbols

Get all symbols available in a dataset.

Historical

Live

Instrument definitions

Find most liquid instruments

Find most active instruments using instrument definitions and OHLCV data.

Historical

Handling tick sizes

Convert prices and spread size to tick units.

Historical

Order book

Types of order book events

Learn how Databento normalizes MBO data from an order’s life cycle (e.g., Add, Fill).

Historical

State management of resting orders

Manage state of all orders to calculate BBO. Precursor to order book construction.

Historical

Limit order book construction

A complete order book implementation. Use MBO data to build the limit order book.

Historical

Microprice, book imbalance, and book pressure

Common predictors using order book data.

Historical

Queue position of an order

Use MBO data to get an accurate position of any order within a price level.

Historical

Algorithmic trading

A high-frequency liquidity-taking strategy

Implement simulated trading (paper trading) using live data.

Live

Build prediction models with machine learning

Construct alpha signals using Databento and regression models from sklearn.

Historical

Execution slippage and markouts

Plot markout curves for transaction cost analysis and measuring execution quality.

Historical

Matching engine latencies

Measure matching engine and feed latency with nanosecond, PTP timestamps.

Historical

Using messaging rates as a proxy for implied volatility

Determine and compare implied volatility (IV) and messaging rates.

Historical

Mean reversion and portfolio optimization

Fetch cross-sectional returns. Build a mean reversion strategy and optimal portfolios.

Historical

Pairs trading based on cointegration

A cross-venue pairs trading strategy between WTI (CME) and Brent (ICE) crude.

Historical

Build a real-time stock screener

Build a live stock screener for all U.S. equity tickers.

Historical

Live

Corporate actions

Dividends

Obtain regular and special dividend information.

Historical

New listings

Explore new listings on US and global markets.

Historical

Splits and reverse splits

Handle forward and reverse stock split capital events.

Historical

Mergers and demergers

Analyze company merger and demerger events.

Historical

Adjustment factors

Applying adjustment factors

Factor in the effects of capital events on securities using adjustment factors.

Historical

Handling multiple stock selections

Back-adjust closing prices over a selection of stocks using adjustment factors.

Historical

Security master

Enrich instrument definitions

Use the security master to enrich instrument definitions.

Historical

Listings and delistings

Track security listings, delistings and symbology changes across time with the security master point-in-time (PIT) records.

Historical

Market capitalization change

Combine daily close prices with shares outstanding to analyze changes in market capitalization over time.

Historical