Dataset symbols

Overview

In this example we will show how to get all symbols for a dataset. We will use the Historical client to get all symbols available on a specific date. We will also use the Live client to get all symbols active for the current session.

Definition schema

We will use the definition schema. We will create a map of raw_symbol to InstrumentDefMsgs.

An InstrumentDefMsg contains fields such as:

  • raw_symbol - The instrument name (symbol) provided by the publisher
  • instrument_class - The classification of the instrument
  • expiration - The expiration timestamp for options/futures contracts
  • min_price_increment - The minimum constant trade tick for an instrument

Historical example

First, we'll take a look at how to do this with the Historical client.

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import databento as db

# Create a historical client
client = db.Historical("$YOUR_API_KEY")

dataset = "EQUS.SUMMARY"

# Download definition schema for all symbols
data = client.timeseries.get_range(
    dataset=dataset,
    symbols="ALL_SYMBOLS",
    start="2025-02-06",
    end="2025-02-07",
    schema="definition",
)

# Create a map of raw_symbol -> InstrumentDefMsgs
symbol_map = {msg.raw_symbol: msg for msg in data}

# Get all symbols
symbols = sorted(symbol_map.keys())

# Print out the symbol count and the first 5 symbols
print(f"Total symbol count for {dataset} = {len(symbols)}\nFirst 5 symbols...{symbols[:5]}")
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Total symbol count for EQUS.SUMMARY = 11198
First 5 symbols...['A', 'AA', 'AAA', 'AAAU', 'AACBU']

Live example

Next, we'll take a look at how to do this with the Live client.

Info

You will need a live license for the dataset to run this example. See our plans and live data page for more information.

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import databento as db

# Create a live client
live_client = db.Live("$YOUR_API_KEY")

dataset = "GLBX.MDP3"

# Subscribe to the definition schema for all symbols for this session
live_client.subscribe(
    dataset=dataset,
    schema="definition",
    symbols="ALL_SYMBOLS",
    start=0,
)

# Create a map of raw_symbol -> InstrumentDefMsgs
symbol_map = {}


def append_symbol_map(msg):
    if isinstance(msg, db.InstrumentDefMsg):
        symbol_map[msg.raw_symbol] = msg


# Add the callback and start the stream
live_client.add_callback(append_symbol_map)
live_client.start()

# Listen to the stream for 10 seconds to get all messages
live_client.block_for_close(timeout=10)

# Get all symbols
symbols = sorted(symbol_map.keys())

# Print out the symbol count and the first 5 symbols
print(f"Total symbol count for {dataset} = {len(symbols)}\nFirst 5 symbols...{symbols[:5]}")
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Total symbol count for GLBX.MDP3 = 784038
First 5 symbols...['00CH5', '00CJ5', '00CK5', '00CM5', '00CN5']