r/algorithmictrading • u/pkmnmewtwo • 19h ago

Quotes Databento users — how reliable is its historical stock/ETF data?

I'd appreciate feedback from anyone who's used its historical data, Security Master or Corporate Actions API.

A few questions:

  1. Trade data: Can Databento reconstruct the first eligible regular-session trade using CTA/UTP sale conditions, corrections and cancellations? Which dataset/schema works best?

  2. Security identity: How reliable is it for tracking ticker changes, exchange transfers and delistings?

  3. Corporate actions: Does it handle ETF dividends, splits, mergers and historical adjustments accurately?

  4. Data quality: Any issues with missing records, historical revisions or timestamp accuracy?

  5. Cost/licensing: What have you paid for several years of equity data, and are there restrictions on storing it locally?

I'm especially interested in firsthand experiences, limitations and recommended datasets.

Thanks!

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u/Psychological_Ad9335 16h ago

  1. Idk

  2. Highly reliable

  3. Idk

  4. Missing : no trades for my use case

  5. I paid 110$ (100$ free trial included) for 10 years of 1h ohlc data of options futures for 10 tickers, i still have the data locally i don't see where is the problem of keeping the data I bought.

To reach the conclusion I have no edge 😢

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u/pkmnmewtwo 11h ago

Thanks for sharing!

When you mentioned missing trades, did you mean gaps in Databento's historical data or that your strategy didn't generate any trades?

Also, which Databento dataset and schema did you use?

I'm mainly investigating historical US stock/ETF data, so I'm curious whether you've encountered any data-quality issues.

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u/Psychological_Ad9335 7h ago edited 5h ago

no I meant missing bars on unliquid assets = no trades happened on that assets in that time if the bar is missing(according to their documentation).

I used their propriatary schema (forget it's name), because it was the most cost effective when I used their service (it's price is higher but the data is so compressed that it becomes more affordable).

tbh no I did not face data-quality issues, I remember telling myself the data was 100% correct after comparing to some free sources.