Product roadmap
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Real-time and historical index data
Currently, indices are indirectly supported through tradable index instruments on CME futures, ETFs, etc. and we don't provide the index values (non-tradable) themselves. This may be sourced from a feed like the Cboe Global Indices Feed or NYSE Global Index Feed.
Tessa Hollinger#Datasets 📶11
WebSocket API for live data
To extend support to browser-based applications.
Tessa Hollinger#APIs 🔗3
Consolidated US equities data
Currently, equities is supported via individual prop feeds of each venue. While NASDAQ is sufficient for getting NBBO for most of the time, some users prefer something that will be more in line with actual NBBO from SIPs. This feature request tracks 3 possible modes of consolidation for both historical and live data: Databento server-side consolidation of multiple proprietary feeds Consolidated data from proprietary feed like Nasdaq Basic in lieu of SIP Consolidated data from CTA/UTP SIPs We plan on implementing 1-2 of these three options.
Tessa Hollinger#Datasets 📶#APIs 🔗8
CFE Book Depth
Full depth of book feed for Cboe Futures Exchange (CFE). CFE contains volatility futures and corporate bond index futures, such as VIX futures (VX, VXM).
Zach Banks#Datasets 📶0
Cboe FX ITCH (forex, foreign exchange)
All orders plus last look quotes from 35 major banks and non-bank LPs, on one of the largest FX venues.
Tessa Hollinger#Datasets 📶6
Equities reference, fundamental and static data
e.g. Shares outstanding, short interest, market capitalization, P/E ratio etc.
Tessa Hollinger#Datasets 📶#APIs 🔗2
NYSE Integrated
Most comprehensive, order-by-order view of all events in the NYSE equities market. Combines both orders and trades, providing more determinism than OpenBook feed. Also contains auction imbalance records.
Tessa Hollinger#Datasets 📶6
Nasdaq Nordic data
Data for: Copenhagen Stock Exchange (Nasdaq Copenhagen) Stockholm Stock Exchange (Nasdaq Stockholm) Helsinki Stock Exchange (Nasdaq Helsinki) Iceland Stock Exchange (Nasdaq Iceland) Tallinn Stock Exchange (Nasdaq Baltic) Riga Stock Exchange (Nasdaq Baltic) Vilnius Stock Exchange (Nasdaq Baltic)
Tessa Hollinger#Datasets 📶1
Example Liquidity Heatmap on MBO Data in Python
Documentation for how to use the the order book from MBO data for visualizing the evolution of limit order book over time as heatmap. For instance every 10 seconds a snapshoot of the order book of historical 6E futures data is taken. Now a heatmap (exp.: Seaborn) is generated, showing price levels on y axis and timeincrements of 10 seconds on the x axis. The color intensity of the boxes depends on the size of the limitorders. Maybe this idea is an good example for implementing the heatmap with json, d3, ...
Daniel B#Docs 📖3
Security master
A Security Master for Global Corporate Actions data. External symbology mappings since 2005. Includes Bloomberg FIGI, ISINs, CFIs, FISNs, and CIKs.
Eric M Duncan#Datasets 📶0
Cboe EDGX Depth
Full depth of book feed for Cboe EDGX exchange. Formerly known as Direct Edge EDGX.
Tessa Hollinger#Datasets 📶2
Cboe EDGA Depth
Full depth of book feed for Cboe EDGA exchange. Formerly known as Direct Edge EDGA.
Tessa Hollinger#Datasets 📶1
Cboe BYX Depth
Full depth of book feed for Cboe BYX exchange.
Tessa Hollinger#Datasets 📶1
Cboe BZX Depth
Full depth of book feed for Cboe BZX exchange.
Tessa Hollinger#Datasets 📶1
ES futures
Why do I have breaks in the 1 second download interval ? 24-11-18 12:07:46,5917.50,5917.75,5917.50,5917.50,72 2024-11-18 12:07:47,5917.50,5917.50,5917.50,5917.50,2 2024-11-18 12:07:50,5917.75,5917.75,5917.50,5917.50,7 2024-11-18 12:07:51,5917.50,5917.50,5917.00,5917.00,29 2024-11-18 12:07:52,5917.00,5917.00,5917.00,5917.00,47 2024-11-18 12:07:53,5917.00,5917.00,5917.00,5917.00,12 2024-11-18 12:07:54,5916.75,5917.00,5916.75,5917.00,57 2024-11-18 12:07:55,5917.25,5917.25,5917.00,5917.00,17 2024-11-18 12:07:56,5917.00,5917.50,5917.00,5917.50,19 2024-11-18 12:07:57,5917.50,5917.75,5917.25,5917.50,45 2024-11-18 12:07:58,5917.75,5917.75,5917.75,5917.75,1 2024-11-18 12:07:59,5917.75,5918.00,5917.75,5918.00,124 2024-11-18 12:08:00,5918.00,5918.25,5918.00,5918.00,148 2024-11-18 12:08:01,5918.00,5918.00,5917.75,5918.00,10 2024-11-18 12:08:02,5918.00,5918.25,5918.00,5918.25,58 2024-11-18 12:08:03,5918.00,5918.25,5918.00,5918.00,75 2024-11-18 12:08:04,5918.00,5918.00,5918.00,5918.00,6 2024-11-18 12:08:05,5918.00,5918.00,5918.00,5918.00,4 2024-11-18 12:08:06,5918.00,5918.00,5917.50,5917.75,164 2024-11-18 12:08:07,5917.50,5917.75,5917.50,5917.75,56 2024-11-18 12:08:08,5917.75,5917.75,5917.75,5917.75,71 2024-11-18 12:08:09,5917.50,5917.50,5917.25,5917.50,94 2024-11-18 12:08:10,5917.50,5917.50,5917.50,5917.50,20 2
Oskar#Datasets 📶#APIs 🔗1