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
  • 2026-05-31
  • 2026-05-09
  • 2026-04-22
  • 2026-04-15
  • 2026-04-13
  • 2026-04-08
  • 2025-11-09
  • 2025-11-04
  • 2025-09-23
  • 2025-08-26
  • 2025-08-05
  • 2025-07-25
  • 2025-07-06
  • 2025-07-01
  • 2025-06-27
  • 2025-06-17
  • 2025-06-10
  • 2025-05-20
  • 2025-05-07
  • 2025-04-05
  • 2025-04-01
  • 2025-03-13
  • 2025-02-26
  • 2025-02-01
  • 2025-01-15
  • 2024-12-14
  • 2024-12-03
  • 2024-12-02
  • 2024-10-22
  • 2024-10-24
  • 2024-07-05
  • 2024-06-25
  • 2024-06-18
  • 2024-05-07
  • 2024-01-18
  • 2023-11-17
  • 2023-10-04
  • 2023-08-29
  • 2023-07-23
  • 2023-05-01
  • 2023-04-28
  • 2023-03-07
llms.txt

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
Get daily closing prices for equities
Retrieve the official consolidated closing prices for US equities.
Historical
Analyze auction imbalance dynamics
Compare the closing auction process for different US equity exchanges.
Historical