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Databento

Market data APIs for real-time and historical data. Direct from colocation sites.

Databento offers pay-as-you-go access to trading data using a state of the art API as well as a custom Python package. The platform covers all trades and quote updates at nanosecond frequency from major exchanges such as NASDAQ, NYSE, CME Globex, OPRA, or ICE Futures Europe. It is an ideal way for students to experiment with Big Data, from using APIs for ingress to building and back-testing realistic algorithmic trading strategies.

Databento can be accessed by logging in on their website. Students enrolled in FNCE 449/668 receive a credit of $25 worth of data, equivalent to 50 GB of NASDAQ trade and quote rows (i.e., billions of trade messages). To access the data, students need to create their own API key using the platform's extensive documentation.