Databento Provider¶

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

Overview¶

Databento provides institutional-grade market data across 45+ exchanges with 15+ years of history. DataBentoProvider exposes OHLCV-oriented historical fetches, continuous futures helpers, OPRA option helpers, schema discovery, and direct access to the native databento.Historical client for advanced workflows.

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 for one symbol
df = provider.fetch_multiple_schemas(
    symbol="ES",
    start="2024-01-01",
    end="2024-06-01",
    schemas=["ohlcv-1d", "ohlcv-1h"],
)

OPRA Options¶

The wrapper provides a small OPRA workflow for listed-options research:

Estimate request cost before downloading broad quote or bar data.
Discover option contracts from Databento definitions.
Fetch OHLCV bars or consolidated OPRA quotes for selected contracts.

from ml4t.data.providers import DataBentoProvider

provider = DataBentoProvider()

estimate = provider.estimate_opra_cost(
    symbols=["SPY   240119C00480000"],
    start="2024-01-02",
    end="2024-01-02",
    schema="cbbo-1m",
)

chain = provider.fetch_option_chain(
    underlying="SPY",
    session_date="2024-01-02",
    expiry="2024-01-19",
    right="call",
    min_strike=440,
    max_strike=500,
)

bars = provider.fetch_option_ohlcv(
    contract="SPY   240119C00480000",
    start="2024-01-02",
    end="2024-01-02",
    frequency="daily",
)

quotes = provider.fetch_option_quotes(
    contract="SPY   240119C00480000",
    start="2024-01-02",
    end="2024-01-02",
    schema="cbbo-1m",
)

fetch_option_quotes() keeps Databento's consolidated OPRA publisher when publisher_id is present. Set consolidated_only=False to retain publisher-level quote rows.

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
`cbbo-1m`	OPRA consolidated quotes	Listed-options quotes
`mbp-10`	10-level depth	Order book analysis via native SDK

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(
    root_symbol="ES",
    start="2020-01-01",
    end="2024-12-01",
    frequency="daily",
    version=0,
)

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.

Advanced Workflows¶

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

For advanced Databento schemas, batch jobs, symbology resolution, and live streaming, use provider.client directly.