Source: https://databento.com/docs/examples/options/zero-dte-options # Get symbols for 0DTE options ## Overview In this example we will show how to get symbols for 0DTE options for a product. 0DTE (Zero **D**ays **T**o **E**xpiration) options are contracts that expire at the end of the current session. ## Definition schema The [definition schema](https://databento.com/docs/schemas/instrument-definitions.md) contains instrument definitions and properties. In these examples, we are primarily interested in the `raw_symbol` and `expiration` fields. We will retrieve definition data for all options that trade under a parent symbol. We will then filter for 0DTE contracts based on `expiration`. We can then use `raw_symbol` to pass a list of symbols into another data query. ## Historical example First, we'll take a look at how to do this with the Historical client. We'll use a pandas DataFrame to filter for this example. ```python import datetime import databento as db # Create a historical client client = db.Historical("$YOUR_API_KEY") # Set parameters dataset = "OPRA.PILLAR" parent_symbol = "SPXW" # SPX Weekly Options date = datetime.date(2025, 9, 10) # Download definition data for a parent symbol def_data = client.timeseries.get_range( dataset=dataset, schema="definition", symbols=f"{parent_symbol}.OPT", stype_in="parent", start=date, ) # Convert to DataFrame and filter for 0DTE def_df = def_data.to_df() def_df = def_df[def_df["expiration"].dt.date == date] # Print out raw_symbols, expiration, and strike price print(def_df[["raw_symbol", "expiration", "strike_price"]]) # Download some TCBBO data with these symbols tcbbo_data = client.timeseries.get_range( dataset=dataset, schema="tcbbo", symbols=def_df["raw_symbol"].to_list(), start=date, limit=10000, ) # Convert to DataFrame tcbbo_df = tcbbo_data.to_df() # Print TCBBO DataFrame print(tcbbo_df) ``` ## Result ```plaintext raw_symbol expiration strike_price ts_recv 2025-09-10 10:30:02.624717419+00:00 SPXW 250910P04000000 2025-09-10 00:00:00+00:00 4000.0 2025-09-10 10:30:02.634731457+00:00 SPXW 250910P06700000 2025-09-10 00:00:00+00:00 6700.0 2025-09-10 10:30:02.644740147+00:00 SPXW 250910P06200000 2025-09-10 00:00:00+00:00 6200.0 2025-09-10 10:30:02.644740147+00:00 SPXW 250910C05775000 2025-09-10 00:00:00+00:00 5775.0 2025-09-10 10:30:02.662006482+00:00 SPXW 250910P06450000 2025-09-10 00:00:00+00:00 6450.0 ... ... ... ... 2025-09-10 10:30:29.833577055+00:00 SPXW 250910C05970000 2025-09-10 00:00:00+00:00 5970.0 2025-09-10 10:30:29.844558808+00:00 SPXW 250910C06145000 2025-09-10 00:00:00+00:00 6145.0 2025-09-10 10:30:29.869477754+00:00 SPXW 250910C06065000 2025-09-10 00:00:00+00:00 6065.0 2025-09-10 10:30:29.883667299+00:00 SPXW 250910C05960000 2025-09-10 00:00:00+00:00 5960.0 2025-09-10 10:30:29.994986746+00:00 SPXW 250910P06710000 2025-09-10 00:00:00+00:00 6710.0 [406 rows x 3 columns] ``` ```plaintext ts_event rtype publisher_id instrument_id side ... bid_sz_00 ask_sz_00 bid_pb_00 ask_pb_00 symbol ts_recv ... 2025-09-10 13:30:02.764440257+00:00 2025-09-10 13:30:02.764236273+00:00 194 22 1241523583 N ... 0 0 0 0 SPXW 250910P06350000 2025-09-10 13:30:02.764443670+00:00 2025-09-10 13:30:02.764240780+00:00 194 22 1241523583 N ... 0 0 0 0 SPXW 250910P06350000 2025-09-10 13:30:02.764725051+00:00 2025-09-10 13:30:02.764522162+00:00 194 22 1241515705 N ... 0 0 0 0 SPXW 250910P06400000 2025-09-10 13:30:02.764725051+00:00 2025-09-10 13:30:02.764522162+00:00 194 22 1241515705 N ... 0 0 0 0 SPXW 250910P06400000 2025-09-10 13:30:02.764734633+00:00 2025-09-10 13:30:02.764531350+00:00 194 22 1241515705 N ... 0 0 0 0 SPXW 250910P06400000 ... ... ... ... ... ... ... ... ... ... ... ... 2025-09-10 13:31:50.928232746+00:00 2025-09-10 13:31:50.928030554+00:00 194 22 1241531922 N ... 385 364 22 22 SPXW 250910C06610000 2025-09-10 13:31:50.956014355+00:00 2025-09-10 13:31:50.955812019+00:00 194 22 1241520104 N ... 134 200 22 22 SPXW 250910P06495000 2025-09-10 13:31:50.961115681+00:00 2025-09-10 13:31:50.960913601+00:00 194 22 1241528118 N ... 234 200 22 22 SPXW 250910C06555000 2025-09-10 13:31:50.962087120+00:00 2025-09-10 13:31:50.961883488+00:00 194 22 1241516275 N ... 136 60 22 22 SPXW 250910C06545000 2025-09-10 13:31:50.962087120+00:00 2025-09-10 13:31:50.961883488+00:00 194 22 1241519790 N ... 54 188 22 22 SPXW 250910C06550000 [10000 rows x 15 columns] ``` ## Live example Next, we'll take a look at how to do this with the Live client. We'll use the `pretty_expiration` attribute which converts `expiration` into a datetime object to filter. > **Info** > > You will need a live license for `OPRA.PILLAR` to run this example. See our [plans and live data page]($PLATFORM_HOSTNAME/docs/portal/live-data) for more information. ```python import datetime import databento as db # Create a live client live_client = db.Live("$YOUR_API_KEY", compression=db.Compression.ZSTD) # Set parameters dataset = "OPRA.PILLAR" parent_symbol = "SPXW" # SPX Weekly Options date = datetime.datetime.now(tz=datetime.timezone.utc).date() # Subscribe to the definition schema for the parent symbol for this session live_client.subscribe( dataset=dataset, schema="definition", symbols=f"{parent_symbol}.OPT", stype_in="parent", start=0, ) # Create a list of 0DTE symbols symbols = [] def append_symbol_list(msg): if isinstance(msg, db.InstrumentDefMsg): # Filter for 0DTE if msg.pretty_expiration.date() == date: symbols.append(msg.raw_symbol) # Add the callback and start the stream live_client.add_callback(append_symbol_list) live_client.start() # Listen to the stream for 15 seconds to get all messages live_client.block_for_close(timeout=15) # Print out the symbol count and the first 5 symbols print(f"Total symbol count for {dataset} = {len(symbols)}\nFirst 5 symbols...{symbols[:5]}") # Re-subscribe to the TCBBO schema with 0DTE symbols live_client.subscribe( dataset=dataset, schema="tcbbo", symbols=symbols, ) # Add a print callback and start the stream live_client.add_callback(print) live_client.start() # Listen to the stream for 10 seconds live_client.block_for_close(timeout=10) ``` ## Result ```plaintext Total symbol count for OPRA.PILLAR = 139 First 5 symbols...['SPXW 260122P02800000', 'SPXW 260122P08200000', 'SPXW 260122C05800000', 'SPXW 260122C04800000', 'SPXW 260122C03400000'] ``` ```plaintext SymbolMappingMsg(rtype=, publisher_id=0, instrument_id=1174406426, ts_event=1769047672270047890, pretty_ts_event='2026-01-22T02:07:52.270047890Z', stype_in=None, stype_in_symbol='SPXW 260122P02800000', stype_out=None, stype_out_symbol='SPXW 260122P02800000', start_ts=18446744073709551615, pretty_start_ts='2554-07-21T23:34:33.709551615Z', end_ts=18446744073709551615, pretty_end_ts='2554-07-21T23:34:33.709551615Z') ... Cmbp1Msg(ts_recv=1769027025118777730, pretty_ts_recv='2026-01-21T20:23:45.118777730Z', rtype=, publisher_id=OPRA.PILLAR.XCBO (22), instrument_id=1174410419, ts_event=1769027025118577558, pretty_ts_event='2026-01-21T20:23:45.118577558Z', action='T', side='N', price=2420000000, pretty_price=2.42, size=1, flags=LAST | TOB (192), ts_in_delta=0, bid_px_00=2400000000, pretty_bid_px_00=2.4, ask_px_00=2450000000, pretty_ask_px_00=2.45, bid_sz_00=24, ask_sz_00=33, bid_pb_00=22, ask_pb_00=22) Cmbp1Msg(ts_recv=1769027025118782732, pretty_ts_recv='2026-01-21T20:23:45.118782732Z', rtype=, publisher_id=OPRA.PILLAR.XCBO (22), instrument_id=1174410419, ts_event=1769027025118582557, pretty_ts_event='2026-01-21T20:23:45.118582557Z', action='T', side='N', price=2420000000, pretty_price=2.42, size=1, flags=LAST | TOB (192), ts_in_delta=0, bid_px_00=2400000000, pretty_bid_px_00=2.4, ask_px_00=2450000000, pretty_ask_px_00=2.45, bid_sz_00=24, ask_sz_00=33, bid_pb_00=22, ask_pb_00=22) Cmbp1Msg(ts_recv=1769027026311010903, pretty_ts_recv='2026-01-21T20:23:46.311010903Z', rtype=, publisher_id=OPRA.PILLAR.XCBO (22), instrument_id=1174415604, ts_event=1769027026310810688, pretty_ts_event='2026-01-21T20:23:46.310810688Z', action='T', side='N', price=19140000000, pretty_price=19.14, size=1, flags=LAST | TOB (192), ts_in_delta=0, bid_px_00=19000000000, pretty_bid_px_00=19, ask_px_00=19300000000, pretty_ask_px_00=19.3, bid_sz_00=19, ask_sz_00=28, bid_pb_00=22, ask_pb_00=22) ... Cmbp1Msg(ts_recv=1769027042926074875, pretty_ts_recv='2026-01-21T20:24:02.926074875Z', rtype=, publisher_id=OPRA.PILLAR.XCBO (22), instrument_id=1174410087, ts_event=1769027042925867805, pretty_ts_event='2026-01-21T20:24:02.925867805Z', action='T', side='N', price=10720000000, pretty_price=10.72, size=1, flags=LAST | TOB (192), ts_in_delta=0, bid_px_00=10600000000, pretty_bid_px_00=10.6, ask_px_00=10800000000, pretty_ask_px_00=10.8, bid_sz_00=13, ask_sz_00=11, bid_pb_00=22, ask_pb_00=22) Cmbp1Msg(ts_recv=1769027043433405443, pretty_ts_recv='2026-01-21T20:24:03.433405443Z', rtype=, publisher_id=OPRA.PILLAR.XCBO (22), instrument_id=1174410087, ts_event=1769027043433197884, pretty_ts_event='2026-01-21T20:24:03.433197884Z', action='T', side='N', price=10700000000, pretty_price=10.7, size=1, flags=LAST | TOB (192), ts_in_delta=0, bid_px_00=10600000000, pretty_bid_px_00=10.6, ask_px_00=10800000000, pretty_ask_px_00=10.8, bid_sz_00=14, ask_sz_00=26, bid_pb_00=22, ask_pb_00=22) Cmbp1Msg(ts_recv=1769027043433405682, pretty_ts_recv='2026-01-21T20:24:03.433405682Z', rtype=, publisher_id=OPRA.PILLAR.XCBO (22), instrument_id=1174410087, ts_event=1769027043433202613, pretty_ts_event='2026-01-21T20:24:03.433202613Z', action='T', side='N', price=10700000000, pretty_price=10.7, size=1, flags=LAST | TOB (192), ts_in_delta=0, bid_px_00=10600000000, pretty_bid_px_00=10.6, ask_px_00=10800000000, pretty_ask_px_00=10.8, bid_sz_00=14, ask_sz_00=26, bid_pb_00=22, ask_pb_00=22) ```