Databento

In celebration of our launch anniversary, we’d like to share a glimpse into our journey with you! Take a peek into the origins of Databento, the incredible team behind it, and how we're disrupting the financial #data industry.

Order book (MBO) data provides provides information on every individual order event in the book, capturing key liquidity details like odd lots, non-top levels, trade aggressor side, and auction imbalance. #orderbookdata #L3data #marketdata #liquidity #L1data #quant

Pop quiz: How is the opening price determined and how do you get US stock prices before market open? Most platforms choose one of two conventions—they determine the opening price based on either the first trade after the official market open at 9:30 AM or the first trade after pre-market begins. In the latter case, most providers use the SIPs, which publish their first trade prints after 4 AM, when certain NMS exchanges like Nasdaq, Arca, and EDGX, start their pre-market sessions. Before 4 AM, price discovery primarily takes place on ATSs, like Blue Ocean. Since the TRFs only accept reports after 8 AM, trades in the overnight session do not affect the opening price reported by the SIPs. Nonetheless, you can obtain these overnight prices with a direct feed from the ATS. #premarket #stocks #marketmicrostructure #trading #quant

Most backtesting platforms that use only L2 data are too optimistic about your fill rate. Our latest tutorial offers a glimpse into why. #trading #backtesting #marketdata #api #futures #stocks #quant

Market Microstructure 101: What is Implied Depth? In futures and options markets, implied depth refers to inferred liquidity beyond what's visible in the order book for a specific instrument. It is derived from the relationships between different instruments, such as between outrights, spreads, or multi-leg options. Matching engines in exchanges like CME and ICE use implied depth to construct liquidity. #marketmicrostructure #trading #quant

Benjamin Orthlieb and Romain Serman's journey began over a decade ago at a card table, where their shared curiosity about data and tech sparked a vision. "We’ve always talked about how to use data in tech while investing in tech," Romain recalls. That vision crystallized into 2 | Twelve, a fund born from the realization that while VCs often champion technology and AI, few apply these tools to their own investment processes. Unlike most early-stage VCs, who lean heavily on qualitative instincts, 2 | Twelve employs a suite of AI-powered tools to scale their investment process. "You can source thousands of people, screen thousands of people, reach out to thousands of people, all at the same time," Romain says. Check out Ben and Romain's full interview here: https://to.dbn.to/4bpQKhV #venturecapital #AI #machinelearning #quant

Most backtesting platforms that use only L2 data are too optimistic about your fill rate. Our latest tutorial offers a glimpse into why. #Databento #trading #backtesting #marketdata #api #futures #stocks #quant

We've launched new subscription plans for ICE Endex and ICE Futures Europe and are discontinuing usage-based pricing for ICE live data. These updated plans are intended to offer new benefits to users, including predictable costs and sign-up credits for live data. Read the full announcement here: https://to.dbn.to/4kgvCig #marketdata #ICEFuturesEurope #ICEEndex

Less than two years ago, we set out on a mission as the new kids on the block, in an industry that seemed to have seen it all. Data is one of the oldest ideas in the world - one might assume that every possible angle of innovation had already been exhausted. But in a space dominated by legacy providers, we introduced firsts that the industry hadn’t seen before: true usage-based pricing, deep customization, Level 3 data over the internet, and long-overdue transparency. Most importantly, we committed to delivering only the highest-quality data available - earning the trust of some of the world’s largest quant firms along the way. This month, we celebrated a small milestone of 10,000+ customers. This is only the beginning. There’s still a long road ahead, and we’re more energized than ever to keep building, innovating, and pushing boundaries. Thank you to our users, partners, and team for making this possible. Here’s to what’s next! 

Do the data-driven approaches used by hedge funds and quant firms work in early-stage VC? Benjamin Orthlieb and Romain Serman believe the answer is yes! At 2 | Twelve, an early-stage VC firm backed by quants, Ben and Romain are leveraging AI and data to redefine what's possible in seed-stage venture. Look out for their full Quants Worth Following Interview soon! #venturecapital #AI #machinelearning #quant