Databento

Databento#

Databento is a modern market data platform designed for quantitative research and algorithmic trading. It provides high-quality historical and real-time data for:

  • Equities - US stocks and ETFs

  • Futures - CME, ICE, and other exchanges

  • Options - US equity options

Why Databento?#

  • Clean, normalized data - Consistent format across exchanges

  • Flexible pricing - Pay only for what you use

  • Python-first - Excellent Python SDK

  • Academic discounts - Available for students and researchers

Getting Started#

  1. Create an account at databento.com

  2. Get your API key from the dashboard

  3. Install the Python client:

pip install databento

Set-up#

import databento as db
import os
from dotenv import load_dotenv

load_dotenv()
DATABENTO_API_KEY = os.getenv('DATABENTO_API_KEY')

# Initialize the client
client = db.Historical(key=DATABENTO_API_KEY)

Example: Historical Stock Data#

# Download daily OHLCV data for AAPL
data = client.timeseries.get_range(
    dataset="XNAS.ITCH",  # NASDAQ
    symbols=["AAPL"],
    schema="ohlcv-1d",
    start="2024-01-01",
    end="2024-06-30"
)

# Convert to DataFrame
df = data.to_df()
df.head()

Available Datasets#

Dataset

Description

XNAS.ITCH

NASDAQ TotalView-ITCH

XNYS.PILLAR

NYSE Integrated Feed

GLBX.MDP3

CME Globex futures

OPRA.PILLAR

US equity options

See the Databento documentation for complete details.

Resources#

Note

This section will be expanded with working examples. Check back for updates!

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