Historical and real-time
tick data
Databento provides cloud-based solutions for intraday and
real-time tick data. Simple, fast access in Python, C++, and Rust.
Databento tick data
Tick data and tick history are commonly-used terms for the most granular types of market data: L1, L2, and L3. Definitions can vary by vendor, so we use our own naming conventions.
Level
Schema ID
depth
Description
L1
MBP-1
Top of book
Every trade and book update at the best bid and offer (BBO).
L2
MBP-10
Market depth
Every trade and book update across the top ten price levels.
L3
MBO
Full order book depth
All buy and sell orders at every price level with queue position.
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