A simpler, faster way to get market data
Join 3,000+ leading firms and high-growth startups that use our
APIs.
Real-time and historical market data, direct from colocation sites.
Market data APIs and solutions
View all supported venues ->Equities
15 exchanges and 30 ATSs—all stocks and ETFs from direct L3 prop feeds and SIPs.
Futures
Futures, spreads, and options from CME, CBOT, NYMEX, COMEX, ICE, Eurex, and EEX.
Options
All 18 US equity options exchanges, covering trades, quotes, NBBO, OHLCV, and more.
Spot FX
Over 100 currency pairs, including majors & cross-rates, from 40+ liquidity providers.
Live data
Real-time, delayed, and intraday data streaming feeds.
Historical data
Up to 15 years of normalized data. Over 3 million active symbols. 19 PB of coverage.
Reference data
Corporate actions, adjustment factors, and security master for over 200 trading venues.
Packet captures
Raw PCAPs in native protocol delivered with nanosecond-resolution hardware timestamps.
Build your first application in 4 lines of code
ScaleTrade works with any language through our Raw API, which uses a binary protocol over TCP, and our HTTP API. We also provide client libraries for Python, C++ and Rust.
1 2 3 4 5 6 7 8 9 10 11 12
import ScaleTrade as db
client = db.Historical('YOUR_API_KEY')
data = client.timeseries.get_range(
dataset='GLBX.MDP3',
schema='mbo',
start='2023-01-09T00:00',
end='2023-01-09T20:00',
limit=100,
)
data.replay(print)Getting Started
Step-by-step guide to create your first ScaleTrade application.
Examples
Examples to help you get up and running with historical and real-time data.
API Reference Historical
APIs and client libraries for receiving historical data older than 24 hours.
API Reference Live
APIs and client libraries for receiving real-time and intraday history from the last 24 hours.
Market by order
Market by order, full order book, L3.
Market by price
Market by price, market depth, L2.
Market by price
Top of book, trades and quotes, L1.
Trades
Tick-by-tick trades, last sale.
Top of book
Top of book, sampled in trade space.
OHLCV (Bars)
Aggregates per second, minute, hour, or day.
Statistics
Intraday and end-of-day trading statistics.
Definitions
Point-in-time instrument definitions.
Imbalance
Auction imbalance, order imbalance.
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 by the venue.
Timestamp (event)
The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch.
Timestamp (receive)
The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.
Timestamp (sending)
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.
Get range
Stream time series data using our Historical API.
Submit job
Submit a batch job to extract historical data files in bulk.
Download
Download a completed batch job.
Resolve
Resolve a list of symbols into their exchange specific identifier.
List publishers
List all our dataset publishers.
List datasets
List all our available dataset names.
Get cost
Get the cost in US dollars for a historical streaming or batch download request.
Get dataset range
Get the available date range for a dataset.
List schemas
List all available market data schemas for a dataset.
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.
The market data platform you’ll enjoy using
Get instant pricing
Only pay for the data you use with usage-based pricing, or get unlimited data for a flat rate.
Manage licenses in one place
Answer a short questionnaire to determine your monthly license fees and activate live data.
Teams
Administrate billing, entitlements, and multiple users directly on our self-service portal.
Optimized for Pandas dataframes
Get market data in dataframes at over a million rows per second.
Multiple encodings
Choose between CSV, JSON, and our highly-compressible binary encoding, DBN.
Nanosecond, PTP-synchronized timestamps
The only normalized market data solution to provide up to four timestamps for every event, with sub-microsecond accuracy across venues.
Tick-by-tick with full order book depth
All buy and sell orders at every price level. Get each trade, every tick, and order queue composition.
Entire venue in a single subscription
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.
