Databento Provider¶

Provider: DataBentoProvider Website: databento.com API Key: Required Free Tier: $125 credit

Overview¶

Databento provides institutional-grade market data for futures, equities, and options across 45+ exchanges with 15+ years of history.

Best For: Professional futures research, institutional-quality data

Pricing: | Tier | Price | Features | |------|-------|----------| | Free Trial | $125 credit | Historical data only | | Usage-based | Pay as you go | Historical data, $/GB | | Standard | $179/mo | Live data, 15+ years core | | Plus | $1,500/mo + fees | External distribution | | Unlimited | $4,000/mo + fees | All schemas |

Quick Start¶

import os
os.environ["DATABENTO_API_KEY"] = "your_key_here"

from ml4t.data.providers import DataBentoProvider

provider = DataBentoProvider()

# Futures (CME)
df = provider.fetch_ohlcv("ES", "2024-01-01", "2024-06-01", frequency="daily")

# Multiple schemas
df = provider.fetch_multiple_schemas(
    symbols=["ES", "NQ"],
    schemas=["ohlcv-1d", "ohlcv-1h"],
    start="2024-01-01",
    end="2024-06-01"
)

provider.close()

Supported Schemas¶

Schema	Description	Use Case
`ohlcv-1d`	Daily OHLCV	End-of-day analysis
`ohlcv-1h`	Hourly OHLCV	Intraday patterns
`ohlcv-1m`	Minute OHLCV	Short-term strategies
`trades`	Tick trades	Microstructure
`mbp-10`	10-level depth	Order book analysis

Exchange Coverage¶

Category	Exchanges
Equity Index	CME (ES, NQ, YM, RTY)
Energy	NYMEX (CL, NG, HO, RB)
Metals	COMEX (GC, SI, HG)
Rates	CBOT (ZN, ZB, ZF, ZT)
FX	CME (6E, 6J, 6B, 6A)
Agriculture	CBOT (ZC, ZW, ZS)

45+ exchanges, 650,000+ symbols, 15+ years history.

Continuous Futures¶

# Fetch continuous front-month contract
df = provider.fetch_continuous_futures(
    symbol="ES",
    start="2020-01-01",
    end="2024-12-01",
    roll_type="volume"  # Roll on volume crossover
)

API Key Setup¶

# .env file
DATABENTO_API_KEY=your_api_key_here

Get your API key at databento.com.

Cost Estimation¶

Data Type	Approximate Cost
Daily OHLCV	$0.01-0.05 per symbol-month
Minute OHLCV	$0.10-0.50 per symbol-month
Trades	$1-5 per symbol-month
L2 Depth	$5-20 per symbol-month

Use the $125 free credit to explore before committing.

Not Yet Implemented¶

Feature	Priority	Notes
OPRA Options	HIGH	Options chains
MBO (Market by Order)	LOW	Full order book
WebSocket streaming	NOT PLANNED	Use native SDK
Symbology API	LOW	Symbol resolution