databento

Databento are a market data vendor offering robust data across equities, futures, commodities and options markets with PAYG and enterprise subscription models.

Configuration

• apikey - Your account API key
• datasets - A comma-separated list of the datasets that should be accessible, see notes below

You must have an Databento account and an API key to be able to run this module. Please consult Databento's documentation for details on how to open an account and obtain an API key: https://databento.com

This module also supports all the standard configuration options for data modules.

Data sets

Databento organizes data into multiple discrete data sets, each of which can be individually enabled and licensed in Databento's portal.

Each dataset should be specified using its ID, e.g. DBEQ.BASIC,GLBX.MDP3,OPRA.PILLAR

Symbology

Databento are one of the few easily-accessible data vendors that handles symbology 'properly' as a point-in-time perspective that takes account of symbols/tickers changing over time. This is reflected in the symbols alphaweighted exposes through modules and UIs via increased length to include enough metadata that a symbol can be globally unique.

Note that symbols may differ between datasets, even for the same underlying instruments. The alphaweighted Databento module handles this automatically in most cases - including for the common case of looking up options data for an underlying equity or futures contract.

See Databento's symbology documentation and our symbology documentation for more details.

Notes

There are no additional notes at this time.