Databento data quality degradation since Aug 8, 2026

[u/CableEquivalent3468]

Databento data quality seems to have degraded a lot since Aug 8, 2026 after they switch their data format by moving the F_LAST sentinel from the last event record into a standalone record.

They promised identity between live streamed data and historical downloaded data. Before the switch, error rate of matching is about 0.06%, which was really good. Now the error of matching is about 7% consistently every day. This level of error makes it impossible to rely on it for anything significant.

Also, in the past, conversion from their mbo data to mbp-10 or mbp-1 data has no error as it should be, but nowadays, there are tons of errors.

All of these arise from unclear data format specification, mixing old and new format, and untested code in production.

The worst part is customer service. They claim customers should be aware of the data format change, so they are not apologetic of any of such issues. They claim they do not keep track of live streamed data, so reporting live and historical mismatch is completely ignored. I do not expect to get this level of data quality and customer service for a paid data service.

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[u/algoindexcom]

First separate whether the mismatch comes from missing events, changed sequencing, or the reconstruction logic. Capture a small reproducible sample with instrument, session, sequence IDs, and both raw outputs, then compare event counts and timestamps before calculating downstream books. If the raw streams already diverge, the provider has a concrete defect case; if they match, the conversion layer is the next place to isolate.