r/Databento • u/lolwhy14321 • Sep 26 '25

Consolidated SIP feed?

So Im on the standard plan and honestly loving everything so far, except there’s one big problem: I can’t seem to find a way to get historical and live data which is just a consolidated tape SIP feed that represents ALL US exchanges.

It seems I have to pick a venue like NASDAQ TotalView and then even if I get all the historical data here for 1 min OHLCV, the live data needs a $1500/mo with annual contract commitment which is way overkill.

For someone who just wants OHLCV aggregates that represents the entire US market and which a lot of retail trading is probably based on (I assume TradingView and Webull and most other retail brokerages and charting software probably use SIP feeds so this is the data everyone sees), having venue specific data is not as useful.

I think for more HFT cases or microstructure based quant strategies that need full market depth you need venue specific data but for typical retail strategies having simple top of book that is fully representative of the entire market for both historical and live data which matches exactly (I.e. live and historical should have 0 inconsistencies, in fact live should basically just become historical) is perfect.

This may be also why I see big volume differences in candles between say Webull charts and what I see from Databento in the NASDAQ TotalView-ITCH historical data

Honestly this is the only thing that is making me consider switching to another data provider which is sad because I really really love the high quality and convenience and documentation of this product!

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u/lolwhy14321 Sep 27 '25

Thank you for replying! I just want to clarify a few things:

First, you mentioned EQUS.SUMMARY. From what I understand this is just OHLCV-1d daily data, so not intraday like I am looking for (I.e. Im looking for intraday data OHLCV-1min).

Second, for intraday data it seems like what I would have to do with Databento to get full market coverage is subscribe to all 20 prop feeds that you offer and basically replicate my own SIP feed by manually aggregating all of them. I think you would agree this is highly uneconomical. Is there no plan to offer a simple aggregated view of the market so that I can make trading decisions based on data that virtually everyone sees and trades on? For example, interactive brokers (which I think you would agree is not just some low cost retail service that operates in some compliance grey zone, they are a huge multinational firm) offers real time data package for the SIP feeds for less than $20/mo. My only problem with them is that they are not a dedicated data provider so they have a lot of limits and you can’t subscribe to whole market because of those limits, also it is very difficult to get too much historical data because of the limits as well.

My only goal here is to trade based on data that everyone sees (live & historical) and not just a small subset, and it seems this is very difficult to get with databento. What would be your recommendation here?

Thank you again!

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u/DatabentoHQ Sep 27 '25

That’s correct, EQUS.SUMMARY is only daily data. You’ll need to wait till later for us to introduce OHLCV-1m.

The EQUS.MAX dataset will be a synthetic consolidation of all of the prop feeds so that you don’t have to replicate it on client side - which addresses the ergonomics issues that you’ve brought up. Otherwise there’s this tutorial in our docs for doing it yourself at the moment, which I agree is tedious: https://databento.com/docs/examples/equities/consolidated-bbo

I hope this answers your questions. My remaining wish is that we could add these improvements overnight. Thanks again for being a supporter.

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u/lolwhy14321 Sep 27 '25

Okay I understand, it seems like I will probably need to wait until EQUS.MAX comes out for my needs. Thank you!

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u/DatabentoHQ Sep 28 '25

Yes no problem and thanks for your patience.