DATABENTO WIKI

The definitive guide to market microstructure

Key terms and concepts for quants, algorithmic traders, and market analysts.

Databento DC3, NY4, and BAS locations illustrations

All terms

A

Ask Alternative trading system (ATS) Additional hold time (AHT)

B

Bid Boundary switch Binary protocol Bid-ask spread

C

Cancel on disconnect (CoD) Circuit breaker Client library Continuous contract Colocation Cross-connect fees ClearPort CME Globex CME Direct

D

Direct market access (DMA) D-quote Down-modify

E

End of day Electronic communication network (ECN)

F

FINRA TRF FINRA ADF FINRA ORF FINRA TRACE Fiber equalization FIX FIX engine FIX FAST Fill-and-kill (FAK) Financial transaction tax (FTT) Fixed income Futures

G

H

I

Implied depth ITCH

K

L

Liquidity L1 L2 L3 Latency, wire-to-wire Latency, socket-to-socket Latency, port-to-port Latency, tick-to-trade Latency equalization Limit up-limit down (LULD)

M

Market by order (MBO) Market by price (MBP) Mass quoting Mass cancel MiFID I, MiFID II, and MiFIR Market Access Rule Matching algorithm Matching engine Managed services provider Mid-frequency trading (MFT) Messaging library Margin control Market microstructure

N

NMS stock NYSE Pillar NYSE Integrated NYSE Arca Integrated Normalization

O

Over-the-counter (OTC) Organized trading facility (OTF) OUCH Options Price Reporting Authority (OPRA)

P

Proximity hosting Precision Time Protocol (PTP) Purge port PITCH Parity/Priority Allocation

R

Regulation NMS Rule 612 Rule 603 Rule 15c3-5 Rule 611

S

Securities information processor (SIP) Self-match prevention Sub-Penny Rule Swap execution facility (SEF) Simple Binary Encoding (SBE) Securities Industry Automation Corporation (SIAC) Stamp duty Spoofing SPAN Swaps

T

Tick size Tick Size Pilot Program T7 Tag 50 T7 Enhanced Order Book Interface (EOBI) T7 Enhanced Market Data Interface (EMDI)

U

V

W

Resources

Core concepts

Read our new user guides to learn more about the Databento portal and market data APIs.

Blog

Industry insights, tips, and product updates from the Databento team.

Documentation

Build your first application to get started with our live and historical market data APIs.

New users get $125 in free credits

Free credit applies to all of our historical market data.