Portfolio optimization with cross-sectional returns | Databento Docs

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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

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Examples and tutorials
Algorithmic trading
Mean reversion and portfolio optimization

Mean reversion and portfolio optimization

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