Databento docs
  • Home
  • Quickstart
  • Set up Databento
  • Choose a service
  • Build your first application
  • New user guides
  • Examples and tutorials
  • Equities
  • Equities: Introduction
  • Top pre-market movers
  • Find average spread for a symbol
  • Calculate synthetic NBBO from prop feeds
  • Get daily closing prices for equities
  • Analyze auction imbalance dynamics
  • Futures
  • Futures: Introduction
  • Volume, open interest, and settlement prices
  • Futures trading hours
  • Get options chain for a futures product
  • Determine publishing times for statistics
  • Indices
  • Indices: Introduction
  • Implied SPX index from ES futures curve
  • Filter options by moneyness
  • Filter SPXW strikes by VIX-implied expected move
  • Options
  • Equity options: Introduction
  • Options on futures: Introduction
  • All options with a given underlying
  • Join options with underlying prices
  • US equity options volume by venue
  • Resample US equity options NBBO
  • Estimate implied volatility
  • Get symbols for 0DTE options
  • Daily statistics for equity options
  • Get end of day option spreads
  • Live data
  • Handle multiple record types
  • Stream live data to a file
  • Estimate Databento feed latency
  • Calculate TICK and TRIN indicators
  • Subscribe to MBO snapshot
  • Compare on-exchange and off-exchange trade volume
  • Historical data
  • Programmatic batch downloads
  • Best bid, best offer, and midprice
  • Custom OHLCV bars from trades
  • Join schemas on instrument ID
  • Plot a candlestick chart
  • Calculate VWAP and RSI
  • End-of-day pricing and portfolio valuation
  • Benchmark portfolio performance
  • Market halts, volatility interrupts, and price bands
  • Resample OHLCV from 1-minute to 5-minute
  • Convert DBN to other encoding formats
  • Request a large number of symbols
  • Symbology
  • Continuous contracts
  • Parent symbology
  • Symbology mapping for live data
  • Dataset symbols
  • Instrument definitions
  • Finding liquid instruments
  • Handling tick sizes
  • Finding ICE intercommodity spreads
  • Displaying fractional prices
  • Computing tick value and contract notional
  • Order book
  • Types of order book events
  • State management of resting orders
  • Limit order book construction
  • Microprice and book imbalance
  • Queue position of an order
  • Algorithmic trading
  • A high-frequency liquidity-taking strategy
  • Build prediction models with machine learning
  • Execution slippage and markouts
  • Matching engine latencies
  • Using messaging rates as a proxy for implied volatility
  • Mean reversion and portfolio optimization
  • Pairs trading based on cointegration
  • Build a real-time stock screener
  • Corporate actions
  • Dividends
  • New listings
  • Splits and reverse splits
  • Mergers and demergers
  • Adjustment factors
  • Applying adjustment factors
  • Handling multiple stock selections
  • Security master
  • Enrich instrument definitions
  • Listings and delistings
  • Market capitalization change
CORE CONCEPTS
  • Schemas and data formats
  • What's a schema?
  • Market by order (MBO)
  • Imbalance
  • Market by price (MBP-10)
  • Market by price (MBP-1)
  • BBO on trade (TBBO)
  • BBO on interval (BBO)
  • Trades
  • Aggregate bars (OHLCV)
  • Instrument definitions
  • Statistics
  • Status
  • Corporate actions
  • Adjustment factors
  • Security master
  • Standards and conventions
  • Common fields, enums and types
  • Normalization
  • Symbology
  • Databento Binary Encoding
  • Zstandard (zstd)
  • MBO snapshots
  • Reference data enums
  • Corporate actions events
  • Architecture
  • Databento architecture
  • Timestamping
  • Locations and network connectivity
  • Dedicated connectivity
  • Databento NTP service
  • Performance optimization
  • Venues and datasets
  • Blue Ocean ATS MEMOIR Depth
  • Cboe BYX Depth
  • Cboe BZX Depth
  • Cboe EDGA Depth
  • Cboe EDGX Depth
  • CFE
  • Databento Core Indices - CGIF
  • CME Globex MDP 3.0
  • Databento US Equities Mini
  • Databento US Equities Summary
  • Eurex
  • European Energy Exchange
  • ICE Endex
  • ICE Europe Commodities
  • ICE Europe Financials
  • ICE Futures US
  • IEX TOPS
  • MEMX MEMOIR Depth
  • MIAX Pearl Depth of Market
  • Nasdaq Basic with NLS Plus
  • Nasdaq TotalView-ITCH
  • Nasdaq Texas TotalView-ITCH
  • Nasdaq PSX TotalView-ITCH
  • NYSE Integrated
  • NYSE American Integrated
  • NYSE Arca Integrated
  • NYSE National Trades and BBO
  • NYSE Texas Integrated
  • OPRA
  • Adjustment factors
  • Corporate actions
  • Security master
API REFERENCE
  • Historical API
  • Basics
  • Overview
  • Authentication
  • Schemas and conventions
  • Datasets
  • Symbology
  • Encodings
  • Compression
  • Dates and times
  • Errors
  • Rate limits
  • Size limits
  • Metered pricing
  • Versioning
  • Client
  • Historical
  • Metadata
  • Historical.metadata.list_publishers
  • Historical.metadata.list_datasets
  • Historical.metadata.list_schemas
  • Historical.metadata.list_fields
  • Historical.metadata.list_unit_prices
  • Historical.metadata.get_dataset_condition
  • Historical.metadata.get_dataset_range
  • Historical.metadata.get_record_count
  • Historical.metadata.get_billable_size
  • Historical.metadata.get_cost
  • Time series
  • Historical.timeseries.get_range
  • Historical.timeseries.get_range_async
  • Symbology
  • Historical.symbology.resolve
  • Batch downloads
  • Historical.batch.submit_job
  • Historical.batch.list_jobs
  • Historical.batch.list_files
  • Historical.batch.get_job_details
  • Historical.batch.download
  • Historical.batch.download_async
  • Helpers
  • DBNStore
  • DBNStore.from_bytes
  • DBNStore.from_file
  • DBNStore.reader
  • DBNStore.replay
  • DBNStore.request_full_definitions
  • DBNStore.request_symbology
  • DBNStore.to_csv
  • DBNStore.to_df
  • DBNStore.to_file
  • DBNStore.to_json
  • DBNStore.to_ndarray
  • DBNStore.to_parquet
  • DBNStore.__iter__
  • DBNStore.insert_symbology_json
  • map_symbols_csv
  • map_symbols_json
  • Live API
  • Basics
  • Overview
  • Authentication
  • Sessions
  • Schemas and conventions
  • Datasets
  • Symbology
  • Dates and times
  • Intraday replay
  • Snapshot
  • System messages
  • Errors
  • Connection limits
  • Error detection
  • Versioning
  • Compression
  • Recovering after a disconnection
  • Maintenance schedule
  • Slow reader behavior
  • Client
  • Live
  • Live.add_callback
  • Live.add_stream
  • Live.add_reconnect_callback
  • Live.block_for_close
  • Live.start
  • Live.stop
  • Live.subscribe
  • Live.terminate
  • Live.wait_for_close
  • Live.__aiter__
  • Live.__iter__
  • Reference API
  • Basics
  • Overview
  • Authentication
  • Symbology
  • Dates and times
  • Errors
  • Rate limits
  • Client
  • Reference
  • Corporate actions
  • Reference.corporate_actions.get_range
  • Reference.corporate_actions.list_events
  • Reference.corporate_actions.list_enums
  • Adjustment factors
  • Reference.adjustment_factors.get_range
  • Security master
  • Reference.security_master.get_last
  • Reference.security_master.get_range
RESOURCES
  • FAQs
  • Client libraries vs. APIs
  • Streaming vs. batch download
  • Usage-based pricing and credits
  • Instruments and products
  • Venues and publishers
  • MBP-1 vs. TBBO vs. BBO schemas
  • Portal
  • Data catalog
  • Batch download
  • Data usage
  • API keys
  • Download center
  • Team
  • Billing
  • Plans and live data
  • Release notes
  • C++
  • 0.69.0 - Upcoming
  • 0.68.1 - 2026-09-30
  • 0.68.0 - 2026-09-18
  • 0.67.0 - 2026-09-01
  • 0.66.0 - 2026-08-25
  • 0.65.0 - 2026-08-18
  • 0.64.0 - 2026-08-11
  • 0.63.0 - 2026-08-04
  • 0.62.1 - 2026-07-28
  • 0.62.0 - 2026-07-14
  • 0.61.0 - 2026-07-07
  • 0.60.0 - 2026-06-16
  • 0.59.0 - 2026-06-02
  • 0.58.0 - 2026-05-26
  • 0.57.0 - 2026-05-12
  • 0.56.0 - 2026-05-05
  • 0.55.0 - 2026-04-28
  • 0.54.0 - 2026-04-21
  • 0.53.0 - 2026-04-08
  • 0.52.0 - 2026-03-31
  • 0.51.0 - 2026-03-17
  • 0.50.0 - 2026-03-03
  • 0.49.0 - 2026-02-24
  • 0.48.0 - 2026-02-18
  • 0.47.0 - 2026-02-04
  • 0.46.1 - 2026-01-27
  • 0.46.0 - 2026-01-20
  • 0.45.0 - 2025-12-10
  • 0.44.0 - 2025-11-18
  • 0.43.0 - 2025-10-22
  • 0.42.0 - 2025-08-19
  • 0.41.0 - 2025-08-12
  • 0.40.0 - 2025-07-29
  • 0.39.1 - 2025-07-22
  • 0.39.0 - 2025-07-15
  • 0.38.2 - 2025-07-01
  • 0.38.1 - 2025-06-25
  • 0.38.0 - 2025-06-10
  • 0.37.1 - 2025-06-03
  • 0.37.0 - 2025-06-03
  • 0.36.0 - 2025-05-27
  • 0.35.1 - 2025-05-20
  • 0.35.0 - 2025-05-13
  • 0.34.2 - 2025-05-06
  • 0.34.1 - 2025-04-29
  • 0.34.0 - 2025-04-22
  • 0.33.0 - 2025-04-15
  • 0.32.1 - 2025-04-07
  • 0.32.0 - 2025-04-02
  • 0.31.0 - 2025-03-18
  • 0.30.0 - 2025-02-11
  • 0.29.0 - 2025-02-04
  • 0.28.0 - 2025-01-21
  • 0.27.0 - 2025-01-07
  • 0.26.0 - 2024-12-17
  • 0.25.0 - 2024-11-12
  • 0.24.0 - 2024-10-22
  • 0.23.0 - 2024-09-25
  • 0.22.0 - 2024-08-27
  • 0.21.0 - 2024-07-30
  • 0.20.1 - 2024-07-16
  • 0.20.0 - 2024-07-09
  • 0.19.1 - 2024-06-25
  • 0.19.0 - 2024-06-04
  • 0.18.1 - 2024-05-22
  • 0.18.0 - 2024-05-14
  • 0.17.1 - 2024-04-08
  • 0.17.0 - 2024-04-01
  • 0.16.0 - 2024-03-01
  • 0.15.0 - 2024-01-16
  • 0.14.1 - 2023-12-18
  • 0.14.0 - 2023-11-23
  • 0.13.1 - 2023-10-23
  • 0.13.0 - 2023-09-21
  • 0.12.0 - 2023-08-24
  • 0.11.0 - 2023-08-10
  • 0.10.0 - 2023-07-20
  • 0.9.1 - 2023-07-11
  • 0.9.0 - 2023-06-13
  • 0.8.0 - 2023-05-16
  • 0.7.0 - 2023-04-28
  • 0.6.1 - 2023-03-28
  • 0.6.0 - 2023-03-24
  • 0.5.0 - 2023-03-13
  • 0.4.0 - 2023-03-02
  • 0.3.0 - 2023-01-06
  • 0.2.0 - 2022-12-01
  • 0.1.0 - 2022-11-07
  • Python
  • 0.87.0 - 2026-09-22
  • 0.86.0 - 2026-09-01
  • 0.85.0 - 2026-08-25
  • 0.84.0 - 2026-08-18
  • 0.83.0 - 2026-08-04
  • 0.82.0 - 2026-07-21
  • 0.81.0 - 2026-07-07
  • 0.80.0 - 2026-06-16
  • 0.79.0 - 2026-06-02
  • 0.78.0 - 2026-05-12
  • 0.77.0 - 2026-04-28
  • 0.76.0 - 2026-04-21
  • 0.75.0 - 2026-04-07
  • 0.74.1 - 2026-03-31
  • 0.74.0 - 2026-03-24
  • 0.73.0 - 2026-03-10
  • 0.72.0 - 2026-02-26
  • 0.71.0 - 2026-02-17
  • 0.70.0 - 2026-01-27
  • 0.69.0 - 2026-01-13
  • 0.68.2 - 2026-01-06
  • 0.68.1 - 2025-12-16
  • 0.68.0 - 2025-12-09
  • 0.67.0 - 2025-12-02
  • 0.66.0 - 2025-11-18
  • 0.65.0 - 2025-11-11
  • 0.64.0 - 2025-09-30
  • 0.63.0 - 2025-09-02
  • 0.62.0 - 2025-08-19
  • 0.61.0 - 2025-08-12
  • 0.60.0 - 2025-08-05
  • 0.59.0 - 2025-07-15
  • 0.58.0 - 2025-07-08
  • 0.57.1 - 2025-06-17
  • 0.57.0 - 2025-06-10
  • 0.56.0 - 2025-06-03
  • 0.55.1 - 2025-06-02
  • 0.55.0 - 2025-05-29
  • 0.54.0 - 2025-05-13
  • 0.53.0 - 2025-04-29
  • 0.52.0 - 2025-04-15
  • 0.51.0 - 2025-04-08
  • 0.50.0 - 2025-03-18
  • 0.49.0 - 2025-03-04
  • 0.48.0 - 2025-01-21
  • 0.47.0 - 2024-12-17
  • 0.46.0 - 2024-12-10
  • 0.45.0 - 2024-11-12
  • 0.44.1 - 2024-10-29
  • 0.44.0 - 2024-10-22
  • 0.43.1 - 2024-10-15
  • 0.43.0 - 2024-10-09
  • 0.42.0 - 2024-09-23
  • 0.41.0 - 2024-09-03
  • 0.40.0 - 2024-08-27
  • 0.39.3 - 2024-08-20
  • 0.39.2 - 2024-08-13
  • 0.39.1 - 2024-08-13
  • 0.39.0 - 2024-07-30
  • 0.38.0 - 2024-07-23
  • 0.37.0 - 2024-07-09
  • 0.36.3 - 2024-07-02
  • 0.36.2 - 2024-06-25
  • 0.36.1 - 2024-06-18
  • 0.36.0 - 2024-06-11
  • 0.35.0 - 2024-06-04
  • 0.34.1 - 2024-05-21
  • 0.34.0 - 2024-05-14
  • 0.33.0 - 2024-04-16
  • 0.32.0 - 2024-04-04
  • 0.31.1 - 2024-03-20
  • 0.31.0 - 2024-03-05
  • 0.30.0 - 2024-02-22
  • 0.29.0 - 2024-02-13
  • 0.28.0 - 2024-02-01
  • 0.27.0 - 2024-01-23
  • 0.26.0 - 2024-01-16
  • 0.25.0 - 2024-01-09
  • 0.24.1 - 2023-12-15
  • 0.24.0 - 2023-11-23
  • 0.23.1 - 2023-11-10
  • 0.23.0 - 2023-10-26
  • 0.22.1 - 2023-10-24
  • 0.22.0 - 2023-10-23
  • 0.21.0 - 2023-10-11
  • 0.20.0 - 2023-09-21
  • 0.19.1 - 2023-09-08
  • 0.19.0 - 2023-08-25
  • 0.18.1 - 2023-08-16
  • 0.18.0 - 2023-08-14
  • 0.17.0 - 2023-08-10
  • 0.16.1 - 2023-08-03
  • 0.16.0 - 2023-07-25
  • 0.15.2 - 2023-07-19
  • 0.15.1 - 2023-07-06
  • 0.15.0 - 2023-07-05
  • 0.14.1 - 2023-06-16
  • 0.14.0 - 2023-06-14
  • 0.13.0 - 2023-06-02
  • 0.12.0 - 2023-05-01
  • 0.11.0 - 2023-04-13
  • 0.10.0 - 2023-04-07
  • 0.9.0 - 2023-03-10
  • 0.8.1 - 2023-03-05
  • 0.8.0 - 2023-03-03
  • 0.7.0 - 2023-01-10
  • 0.6.0 - 2022-12-02
  • 0.5.0 - 2022-11-07
  • 0.4.0 - 2022-09-14
  • 0.3.0 - 2022-08-30
  • HTTP API
  • 0.36.0 - TBD
  • 0.35.0 - 2025-08-19
  • 0.34.1 - 2025-06-17
  • 0.34.0 - 2025-06-09
  • 0.33.0 - 2024-12-10
  • 0.32.0 - 2024-11-26
  • 0.31.0 - 2024-11-12
  • 0.30.0 - 2024-09-24
  • 0.29.0 - 2024-09-03
  • 0.28.0 - 2024-06-25
  • 0.27.0 - 2024-06-04
  • 0.26.0 - 2024-05-14
  • 0.25.0 - 2024-03-26
  • 0.24.0 - 2024-03-06
  • 0.23.0 - 2024-02-15
  • 0.22.0 - 2024-02-06
  • 0.21.0 - 2024-01-30
  • 0.20.0 - 2024-01-18
  • 0.19.0 - 2023-10-17
  • 0.18.0 - 2023-10-11
  • 0.17.0 - 2023-10-04
  • 0.16.0 - 2023-09-26
  • 0.15.0 - 2023-09-19
  • 0.14.0 - 2023-08-29
  • 0.13.0 - 2023-08-23
  • 0.12.0 - 2023-08-10
  • 0.11.0 - 2023-07-25
  • 0.10.0 - 2023-07-06
  • 0.9.0 - 2023-06-01
  • 0.8.0 - 2023-05-01
  • 0.7.0 - 2023-04-07
  • 0.6.0 - 2023-03-10
  • 0.5.0 - 2023-03-03
  • 0.4.0 - 2022-12-02
  • 0.3.0 - 2022-08-30
  • 0.2.0 - 2021-12-10
  • 0.1.0 - 2021-08-30
  • Raw API
  • 0.9.4 - Upcoming
  • 0.9.3 - 2026-08-01
  • 0.9.2 - 2026-07-18
  • 0.9.1 - 2026-06-27
  • 0.9.0 - 2026-04-26
  • 0.7.5 - 2026-02-28
  • 0.7.4 - 2026-02-15
  • 0.7.3 - 2026-02-10
  • 0.7.2 - 2025-12-14
  • 0.7.1 - 2025-11-09
  • 0.7.0 - 2025-10-26
  • 0.6.4 - 2025-09-28
  • 0.6.3 - 2025-09-07
  • 0.6.2 - 2025-08-02
  • 0.6.1 - 2025-06-29
  • 0.6.0 - 2025-05-24
  • 0.5.6 - 2025-04-06
  • 0.5.5 - 2024-12-01
  • 0.5.4 - 2024-10-02
  • 0.5.3 - 2024-10-02
  • 0.5.1 - 2024-07-24
  • 2024-07-20
  • 2024-06-25
  • 0.5.0 - 2024-05-25
  • 0.4.6 - 2024-04-13
  • 0.4.5 - 2024-03-25
  • 0.4.4 - 2024-03-23
  • 0.4.3 - 2024-02-13
  • 0.4.2 - 2024-01-06
  • 0.4.0 - 2023-11-08
  • 0.3.0 - 2023-10-20
  • 0.2.0 - 2023-07-23
  • 0.1.0 - 2023-05-01
  • Rust
  • 0.64.0 - Upcoming
  • 0.63.0 - 2026-09-29
  • 0.62.0 - 2026-09-21
  • 0.61.0 - 2026-09-01
  • 0.60.0 - 2026-08-25
  • 0.59.0 - 2026-08-18
  • 0.58.0 - 2026-08-11
  • 0.57.0 - 2026-08-04
  • 0.56.0 - 2026-07-28
  • 0.55.0 - 2026-07-14
  • 0.54.0 - 2026-07-07
  • 0.53.0 - 2026-06-02
  • 0.52.0 - 2026-05-26
  • 0.51.0 - 2026-05-12
  • 0.50.0 - 2026-05-05
  • 0.49.0 - 2026-04-29
  • 0.48.0 - 2026-04-21
  • 0.47.0 - 2026-04-15
  • 0.46.0 - 2026-04-07
  • 0.45.0 - 2026-03-31
  • 0.44.0 - 2026-03-17
  • 0.43.0 - 2026-03-04
  • 0.42.0 - 2026-02-24
  • 0.41.0 - 2026-02-18
  • 0.40.0 - 2026-01-27
  • 0.39.0 - 2026-01-20
  • 0.38.0 - 2025-12-16
  • 0.37.0 - 2025-12-09
  • 0.36.0 - 2025-11-19
  • 0.35.0 - 2025-10-22
  • 0.34.1 - 2025-09-30
  • 0.34.0 - 2025-09-23
  • 0.33.1 - 2025-08-26
  • 0.33.0 - 2025-08-19
  • 0.32.0 - 2025-08-12
  • 0.31.0 - 2025-07-30
  • 0.30.0 - 2025-07-22
  • 0.29.0 - 2025-07-15
  • 0.28.0 - 2025-07-01
  • 0.27.1 - 2025-06-25
  • 0.27.0 - 2025-06-10
  • 0.26.2 - 2025-06-03
  • 0.26.1 - 2025-05-30
  • 0.26.0 - 2025-05-28
  • 0.25.0 - 2025-05-13
  • 0.24.0 - 2025-04-22
  • 0.23.0 - 2025-04-15
  • 0.22.0 - 2025-04-01
  • 0.21.0 - 2025-03-18
  • 0.20.0 - 2025-02-12
  • 0.19.0 - 2025-01-21
  • 0.18.0 - 2025-01-08
  • 0.17.0 - 2024-12-17
  • 0.16.0 - 2024-11-12
  • 0.15.0 - 2024-10-22
  • 0.14.1 - 2024-10-08
  • 0.14.0 - 2024-10-01
  • 0.13.0 - 2024-09-25
  • 0.12.1 - 2024-08-27
  • 0.12.0 - 2024-07-30
  • 0.11.4 - 2024-07-16
  • 0.11.3 - 2024-07-09
  • 0.11.2 - 2024-06-25
  • 0.11.1 - 2024-06-11
  • 0.11.0 - 2024-06-04
  • 0.10.0 - 2024-05-22
  • 0.9.1 - 2024-05-15
  • 0.9.0 - 2024-05-14
  • 0.8.0 - 2024-04-01
  • 0.7.1 - 2024-03-05
  • 0.7.0 - 2024-03-01
  • 0.6.0 - 2024-01-16
  • 0.5.0 - 2023-11-23
  • 0.4.2 - 2023-10-23
  • 0.4.1 - 2023-10-06
  • 0.4.0 - 2023-09-21
  • 0.3.0 - 2023-09-13
  • 0.2.1 - 2023-08-25
  • 0.2.0 - 2023-08-10
  • 0.1.0 - 2023-08-02
  • Data
  • 2026-10-13
  • 2026-09-15
  • 2026-08-08
  • 2026-07-19
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llms.txt

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