Databento API

Databento is a market data API provider that delivers direct exchange feeds with low-latency APIs and usage-based pricing, targeting quantitative traders, hedge funds, and HFT researchers who need high-fidelity futures, options, and equities data. It supports over 21,000 products and 3 million symbols from more than 60 trading venues, with a claimed normalization latency of 6.1 microseconds and 99.99% uptime. The platform is designed for users who require deterministic replay and exchange-faithful event sequencing, making it suitable for order book reconstruction and microstructure analysis. Databento offers historical data covering 15+ years and live data included in paid plans, with support for multiple symbology systems and formats including CSV, JSON, and its proprietary Databento Binary Encoding (DBE).

Databento works by providing direct exchange feeds for futures, options, equities, and other asset classes, with data available at market-by-order (L3) and market-by-price (L2) granularities. It offers flexible pricing models—Standard, Plus, and Unlimited—alongside usage-based pricing ($/GB) for historical data, which is billed per byte consumed in uncompressed binary encoding (CSV/JSON conversions incur no extra charge). Users can access data via streaming or batch download, with batch downloads allowing unlimited re-downloads over 30 days. The platform supports Python, C++, and Rust client libraries, and includes corporate actions data, automated licensing, and a self-service portal for data requests. New users receive $125 in free credits upon signup, which expire after six months.

Databento’s primary competitor is Polygon.io (Massive), but the two serve different markets: Massive focuses on broad multi-asset coverage with REST/WebSocket APIs for equities, options, forex, and crypto at minute-level resolution, while Databento is optimized for high-fidelity futures and HFT research with full order book depth and microsecond timestamps. Databento claims to be the world’s first market data provider to offer usage-based pricing, and its direct exchange feeds provide lower latency than aggregated APIs. However, Massive offers simpler integration for mid-frequency strategies and broader asset coverage, while Databento’s design prioritizes deterministic replay and exchange-native timestamps for microstructure analysis.

The honest trade-offs: Databento does not support point-in-time market cap histories, filings-aligned corporate context, or dilution data, limiting its use for fundamental equity research. Higher costs for advanced features and larger datasets can be prohibitive for small teams or individual traders. Limited support for non-futures and non-HFT research means it is less suitable for equities-focused strategies at lower frequencies. Additionally, the steeper learning curve and more complex ingestion pipelines require more engineering effort compared to simpler APIs like Polygon.io’s Massive.

Standard plan at $199/month includes unlimited access to seven years of OHLCV history, 12 months of Level 0/1 historical data across 12 schemas, and one month of Level 2 (MBP-10) and Level 3 (MBO, Imbalance) history. Plus and Unlimited plans offer enhanced live data and external distribution. Usage-based historical pricing at $/GB with no monthly subscription fee. New users receive $125 in free credits.