Equities

Tick-by-tick institutional trades for a US equity on a given date. Filter by minimum share size, aggressor side (buy/sell), and time window. Returns trades sorted newest-first with price, size, side, and venue.

Level 2 order book aggregated across all US venues at a specific historical moment. Returns up to 10 bid and ask price levels with sizes, spread, mid price, and a depth imbalance ratio showing buy vs. sell pressure.

Institutional-grade OHLCV price history from consolidated US exchange feeds via Databento. Supports daily, hourly, and 1-minute bars. Returns a chart of close prices plus the full OHLCV bar array for quantitative analysis.

Opening and closing auction imbalance data from Nasdaq and NYSE. Shows the paired quantity, imbalance quantity, imbalance side (buy/sell/balanced), and reference price leading up to market open or close. Critical for understanding institutional order flow at auction crosses.

Trading halt and resume events for a US equity over a date range. Pairs halt and resume events to calculate halt duration in seconds. Useful for identifying regulatory halts, circuit breakers, and volatility halts.

National Best Bid/Offer time series for a US equity on a trading day. Use "1m" interval for a chart of minute-by-minute NBBO midpoint, or "tick" for the raw Level 1 quote stream with best bid, best ask, and spread at every quote change.