Equities data

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Used by 3,000+ leading firms and high-growth startups

40+ trading venues

Easy access with a single, unified API.

1.4+ million instruments

Tick data, full order book, and more.

Over 10 PB coverage

Raw and normalized market data.

Flexible pricing

Only pay for what you use, or get unlimited access with flat-rate pricing.

Direct from source

Sourced from direct feeds at our Equinix NY4 and Aurora I colos.

Self-service onboarding

Skip the sales call. Access your first dataset in as little as 3 minutes.

List of supported venues

Databento is a licensed distributor and direct provider of market data for 40+ trading venues. See all supported venues ->

Coverage Illustration

  • Nasdaq

  • Nasdaq BX

  • Nasdaq PSX

  • NYSE

  • NYSE Arca

  • NYSE National

  • NYSE Chicago

  • NYSE American

  • NYSE TRF

  • Cboe BZX

  • Cboe BYX

  • Cboe EDGA

  • Cboe EDGX

  • IEX

  • MIAX Pearl

Modern stock data APIs built for top financial institutions

Databento works with any language through our APIs. We also provide client libraries for Python, Rust, and C++.

API

Build your first application in 4 lines of code

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API illustration

Examples

Simple workflows for equities trading

Order book
See more examples

Nanosecond timestamps

The only normalized market data solution to provide up to four timestamps for every event, with sub-microsecond accuracy across venues.

Colocated

Full order book

All buy and sell orders at every price level. Get each trade tick-by-tick and order queue composition at all prices.

Colocated

Entire venue in one API call

Subscribe to every update of every symbol on the venue, in a single API call—like a direct feed—be it over internet or cross-connect.

Entire venue in one API call

Direct prop feeds only

Databento's equity data is sourced from the premium direct feeds.
We'll never sell you SIP data.

Direct feeds

Databento

SIPs

Most data providers

Price levels

All levels

Top of book only

Trade aggressor side

The SIPs don't tell you whether a trade is buyer or seller-initiated, so you have to infer from the quote prices and participant timestamps. This can be as inaccurate on as much as 45% of trades. Using direct prop feeds gives you 100% accuracy.

Yes No

Full order book

The SIPs only consolidate top-of-book quotes from each market center, leaving out valuable information that happens in subsequent levels. Moreover, the SIPs are depth feeds, and do not provide order IDs which let you determine queue composition of each price level.

Yes No

Odd lots

Odd lots are not reported to the SIPs. However, odd lots make up nearly 50% of US equities trading activity and this trend continues to increase. Databento's equity bundles report all trades regardless of size.

Yes No

Auction imbalance

Yes No

Low latency

The CTA and UTP SIPs are based in Mahwah and Carteret respectively. For example, this means that trades in NYSE-listed stocks that occur on Nasdaq in Carteret have to be reported to CTA in Mahwah, incurring unnecessary latency. We consolidate the prop feeds in Secaucus NY4, which gives us the least average distance to all of the equities matching engines.

Yes No

Customize your data

Select symbols, format, encoding, and delivery. Get any range by the nanosecond.

Read our API reference and user guides

Documentation
Data illustration

Schemas

Our datasets support multiple formats, including order book, tick data, bar aggregates, and more. View all supported schemas ->

  • mbo

    Market by order, full order book, L3.

  • mbp-10

    Market by price, market depth, L2.

  • mbp-1

    Top of book, trades and quotes, L1.

  • tbbo

    Top of book, sampled in trade space.

  • trades

    Tick-by-tick trades, last sale.

  • ohlcv-t

    Aggregates per second, minute, hour, or day.

  • definition

    Point-in-time instrument definitions.

  • imbalance

    Auction imbalance, order imbalance.

  • statistics

    Intraday and end-of-day trading statistics.

Fields

Examples of frequently used data fields. Each schema is represented as a collection of fields. View all supported fields by schema ->

  • publisher_id

    The publisher ID assigned by Databento, which denotes the dataset and venue.

  • instrument_id

    The numeric instrument ID.

  • order_id

    The order ID assigned at the venue.

  • ts_event

    The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

  • ts_recv

    The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

  • ts_in_delta

    The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv

  • price

    The order price where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

  • action

    The event action. Can be Add, Cancel, Modify, cleaR book, Trade, or Fill.

  • size

    The order quantity.

  • flags

    A bit field indicating event end, message characteristics, and data quality.

  • expiration

    The last eligible trade time expressed as a number of nanoseconds since the UNIX epoch.

  • strike_price

    The exercise price if the instrument is an option. Converted to units of 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

API methods

Examples of popular API methods. Our APIs are organized into four categories: metadata, timeseries, symbology, and batch download. View all supported API methods ->

  • metadata

    Get dataset range

    Get the available date range for a dataset.

  • metadata

    List publishers

    List all our dataset publishers.

  • metadata

    List datasets

    List all our available dataset names.

  • metadata

    List schemas

    List all available market data schemas for a dataset.

  • metadata

    Get cost

    Get the dollars for a historical streaming or batch download request.

  • timeseries

    Get range

    Stream time series data using our Historical API.

  • symbology

    Resolve

    Resolve a list of symbols into their exchange specific identifier.

  • batch

    Download

    Download a completed batch job.

  • batch

    Submit job

    Submit a large data request to our batch system for download.

Sampling frequencies

All datasets provide full flexibility and the ability to customize sampling resolution.

  • Every book update

    Every order execution, add, cancel, replace, book snapshot, and more. By the nanosecond.

  • Tick-by-tick

    Every trade and quote. By the nanosecond.

  • 1 second

    Subsampled BBO, last sale, and OHLCV aggregates by the second.

  • 1 minute

    Subsampled BBO, last sale, and OHLCV aggregates by the minute.

  • Hourly

    OHLCV aggregates by the hour.

  • Daily

    Daily market statistics, indicative opening and closing prices, OHLCV aggregates, and more.

Flexible datasets for every use case

Bundled datasets

Databento consolidates several direct prop feeds into one.

Coverage

Available history

Volume

Average daily volume (ADV) represented as a percentage of the total daily trading volume in the entire market.

Symbols

All US equities, including Nasdaq, NYSE, and Arca-listed instruments.

NBBO

Databento Equities Max offers data from 15 exchanges and the TRFs, including the consolidated best bid and offer (NBBO). The NBBO is the best quote available across these exchanges at any given time.

Full order book

Auction imbalance

Odd lots

Trade aggressor side

Real-time distribution

You can license each dataset bundle for real-time distribution. License fees are passed through from the venue with a month-to-month commitment. Real-time distribution includes use cases like displaying real-time quotes or derived analytics on a web app or providing a white-labeled data API built over Databento within 24 hours of receipt.

Non-display use

You can license each dataset bundle for non-display use, and license fees are passed through from the venue with a month-to-month commitment. Non-display is the non-viewable use of the data for uses including, but not limited to, processing the data for portfolio valuation, order processing, or as part of an automated trading system.

Commercial use

A license agreement with each venue is required for commercial use. Our Basic and Plus bundles are available to non-professional users without a license agreement.

Recommended use case

See frequently asked questions

Do I need 100% average daily volume (ADV) and all venues?

Regulation NMS ensures that orders are executed at the best available prices across the 16 equities exchanges, so trades reported on any venue there are considered to offer the best available prices at the time and are still suitable for many use cases. Many of our users opt against subscribing to all venues to lower their license fees.

However, if you’re executing client orders as a brokerage firm, you may need to meet Rule 603(c) of the Regulation NMS (the Vendor Display Rule), in which case we recommend using Databento Equities Max bundle.

Are all symbols covered? For example, are Nasdaq-listed securities traded on IEX?

Every one of the above bundles and single-venue datasets alone will cover all exchange-listed US stocks (“NMS stocks”). All NMS stocks are traded on each venue. So for example, a Nasdaq-listed stock like AAPL is also traded on IEX.

What's a TRF?

The three FINRA Trade Reporting Facilities (TRFs) record trades in all exchange-listed stocks that take place outside of exchanges, as mandated by regulation. In other words, all OTC transactions in NMS stocks are reported on the TRFs and show off-exchange transactions effected on Alternative Trading Systems (ATSes) and FINRA broker-dealers. These TRFs capture about 45% of average daily volume (ADV) in NMS stocks.

For more information, see FINRA's FAQ page on the TRFs.

Why do you break up your offerings into separate venues? Don't the SIPs offer all venues at once?

Databento is the only market data distributor to source all of our US equities from the direct prop feeds only and to consolidate these feeds ourselves. This is the common practice among the leading electronic market making firms, but unpopular among vendors because the direct prop feeds are significantly more expensive to license than the SIPs. Since we're licensing all of the direct prop feeds individually, it allows us to provide different bundles and compositions of feeds that may be cheaper to license than the SIPs and more cost-effective for every use case.

Do you have LTSE data?

We are not offering LTSE data at this point since LTSE does not expose a direct feed to participants and has zero liquidity on almost all symbols.

Any other questions? Contact us

What our users are saying

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Big 4 accounting firm

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Patronus Capital

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Greg Harris, Senior Quantitative Researcher

Fenrir LLC

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Temple Capital

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Rick Zhan, VP Quant Research

Global quant hedge fund, $50+B AUM

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Didier Lopez, CEO

OpenBB

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MA Investments LTD

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Google

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Energy Aspects

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Neuravest Research Inc.

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Tixall Global Advisors, LLC

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