Databento

Databento is a market-data vendor that sells exchange data, including CME futures trades and depth, on a per-dataset licence and through an API key rather than through a broker account. In order flow software it is a market-data-only source: it can feed footprints, heatmaps and backtests but routes no orders.

Senzoukria · Glossary · Updated September 2026

How it differs from a broker feed

A broker or prop firm issues a Rithmic login with entitlements chosen by the firm. Databento sells the data directly: you hold the API key, pick the datasets you license, and pay the vendor and exchange fees on your own plan. There is no account to trade from, so nothing about a Databento connection implies order routing.

Datasets are licensed individually. CME Globex data is one dataset; a live licence for it is distinct from historical downloads, and order-by-order depth is a different product from aggregated depth. A key that works for one dataset does not entitle another.

  • Live: streamed trades and depth for the licensed dataset, market data only.
  • Historical: files or API downloads, priced by the vendor according to the data requested.
  • Depth formats: aggregated by price, or order by order, which is what a per-order liquidity analysis needs.

Where it fits in an order flow workflow

  • A CME feed for the footprint and the heatmap when no broker login is available or when the broker's depth tier is too shallow.
  • Recorded history for replay and backtesting, with coverage measured before each run rather than assumed.
  • An options chain source for gamma exposure, separate from the futures connection used for the chart.
  • Not a substitute for a trading account: manual and automated orders need a broker connection.

In Senzoukria

Databento appears on the Broker Connections page as Databento Live: CME futures on your own API key, live licence required, market data only, no orders. The card is tagged Footprint, heatmap, GEX and options flow, and it states when a dataset needs a live licence on your Databento plan. Once selected as the Chart data source it drives the footprint and the heatmap for CME contracts; the liquidity tracker panel additionally requires the order-by-order feed, and says so when it has nothing to read.

A second use is offline: Import history · Databento takes an ohlcv-1m file for a contract root, drops spreads, keeps the dominant contract minute by minute and excludes rollover days before loading the bars into the local cache for research and backtests. The import panel warns that these bars carry no delta and no levels, so a strategy reading delta sees zero on them. The tour describes the source as optional: the chart works without it.

Common mistakes

  • Assuming a historical licence includes live streaming, or the reverse.
  • Running a delta-based strategy on imported minute bars that have no bid or ask split.
  • Expecting queue-position analysis on aggregated depth.
  • Treating the vendor's data cost as part of the software subscription.

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Frequently asked questions

Can I trade through Databento?
No. Databento delivers market data only. Order entry in Senzoukria goes through a supported Rithmic connection, manually from the ticket or chart, or through the strategy autopilot after explicit arming. A Databento chart can sit next to that account, but it is not the account.
Is Databento a good source for a historical heatmap?
It can be, provided the dataset you license includes recorded depth for the period; trades alone cannot rebuild a book. Check the depth format, the dates covered and the price before relying on it, and expect the software to leave uncovered intervals empty rather than reconstructed.
Why import an ohlcv file instead of streaming?
Minute bars over several years are a small file to import into the research cache, and the import panel reports the minutes kept, the days covered, the rollover days excluded and the time taken. That is enough for price-based backtests and rollover-aware continuous history. They do not carry order flow, so footprint-based rules need tick data recorded from a live feed instead.

Keep reading

Strategy researchTest a trading strategy, from observation to challenge rulesDefine an observation, question it with the copilot, write a rule and explore costs, drawdown and fictional challenge limits in an interactive example.Quant · Start hereQuant trading for beginners: from idea to backtestDefine a testable rule, choose suitable data and evaluate later periods after costs.Order flow · HubOrder flow trading: the complete guideThe hub. What order flow is, what it shows — aggression, delta, imbalance, absorption, liquidity — and the tools that read it, each linked to a full guide.