Historical data
Programmatic batch downloads
Request and download batch files programmatically.
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Best bid, best offer, and midprice
Calculate midprice using BBO from MBP-1 or TBBO data.
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Custom OHLCV bars from trades
Resample trades data to construct custom OHLCV bars.
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Join schemas on instrument ID
Augment price data with instrument definitions by joining on instrument ID.
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Plot a candlestick chart
Visualize OHLCV data on a candlestick chart.
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Calculate VWAP and RSI
Compute the volume-weighted average price and relative strength indicator.
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End-of-day pricing and portfolio valuation
Get mark-to-market valuation of a portfolio at end of day.
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Benchmark portfolio performance
Calculate metrics like risk-adjusted return and Sharpe ratio of a portfolio.
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Market halts, volatility interrupts, and price bands
Handle trading halts using status messages.
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Resample OHLCV from 1-minute to 5-minute
Forward-fill gaps from intervals with no trades, then resample to 5-minute bars.
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Convert DBN to other encoding formats
Request data in DBN format and convert to CSV, JSON, or Parquet.
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Request a large number of symbols
Get multiple symbols or a firehose of all symbols traded on a venue.
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