Examples

Basics

Most-read docs for common Python, C++, and Rust use cases.

HISTORICAL DATA
LIVE DATA
Advanced applications

Develop systematic strategies and algorithmic trading applications.

HISTORICAL DATA
LIVE DATA

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Options

Equity options: Introduction
Get started with stock options data. Fetch options chains, strikes, expirations, NBBO.
Options
Historical
Options on futures: Introduction
Get started with options on futures data. Fetch options chains, strikes, expirations.
Options
Historical
All options with a given underlying
Find all the quarterly, monthly (serial), weekly, and daily options of an underlying.
Options
Historical
Join options with underlying prices
Get front month outright options and join with the latest underlying futures quotes.
Options
Historical
US equity options volume by venue
Compare volume across all venues in the US equity options market using pandas.
Options
Historical
Resample US equity options NBBO
Fetch NBBO and downsample to 1-minute intervals for all options in a chain.
Options
Historical
Estimate implied volatility
Compute and graph implied volatility from options prices.
Options
Historical
Get symbols for 0DTE options
Get a list of 0DTE options for a product.
Options
Historical
Live
Daily statistics for equity options
Calculate volume and open interest for an equity options chain.
Options
Historical
Get end of day option spreads
Calculate end of day options spread by expirations.
Options
Historical

Historical data

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

Algorithmic trading

A high-frequency liquidity-taking strategy
Implement simulated trading (paper trading) using live data.
Live
Build prediction models with machine learning
Construct alpha signals using Databento and regression models from sklearn.
Historical
Execution slippage and markouts
Plot markout curves for transaction cost analysis and measuring execution quality.
Historical
Matching engine latencies
Measure matching engine and feed latency with nanosecond, PTP timestamps.
Historical
Using messaging rates as a proxy for implied volatility
Determine and compare implied volatility (IV) and messaging rates.
Historical
Mean reversion and portfolio optimization
Fetch cross-sectional returns. Build a mean reversion strategy and optimal portfolios.
Historical
Pairs trading based on cointegration
A cross-venue pairs trading strategy between WTI (CME) and Brent (ICE) crude.
Historical
Build a real-time stock screener
Build a live stock screener for all U.S. equity tickers.
Historical
Live