Instruments and products

Our documentation and web platform uses the terms product, instrument, and listing for different purposes. This article clarifies the differences between these terms.

Products

On Databento, a product (also called a parent product or parent in the context of futures or options) refers to any real or synthetic asset whose data is provided by a market. A product describes a group of instruments belonging to a given economic sector or market segment. Also, products are often fungible, meaning they may be traded on more than one venue. In the case of equities, this means that products and instruments are the same asset, in contrast to derivatives such as futures and options products.

The search on our home page looks up products across our dataset coverage. To find individual instruments, click on any of the products in the search results.

A futures product for a certain underlying has a range of expirations. To avoid ambiguity, we will refer to the collection of all expirations as a parent, and specific expiration as an instrument. So, for example, ES.FUT is the parent of ESM0 and ESZ0. Note: we classify exchange-traded spreads between futures outrights as part of the futures products.

An options product for a certain underlying has a range of both expirations and strikes. To avoid ambiguity, we will refer to the collection of all expirations and strikes as a parent, and specific expiration with strike as an instrument. So, for example, MSFT.OPT is the parent of MSFT20210205C210. Note: we classify option combinations as part of the options products.

Instruments

On Databento, an instrument (also called a child instrument or child) is a tradable asset, real or synthetic, on a specific market. Instruments define all attributes of what is traded, e.g. product complex, product group, expiration, and strike price.

Some publishers use the term security in lieu of what we consider an instrument. This becomes somewhat of a misnomer when applied to derivatives, which are not strictly securities. As such, we prefer to use the term instrument as it more broadly includes both securities and derivatives.

Moreover, some markets provide multiple datasets which provide different levels of visibility. Two different datasets from the same market may exhibit different data for the same instrument. For instance, FX ECNs will often provide a premium feed with full visibility of real-time trades across all liquidity pools on the ECN as well as an entry feed with only delayed trade prints for a subset of liquidity. Since we support multiple datasets from the same market, we also need to distinguish if you're requesting data for EUR/USD on the premium feed or the entry feed.

To resolve these identification issues, we use the term listing to refer to a tradeable entity in a specific dataset from a specific publisher. As such, we consider AAPL on NASDAQ TotalView-ITCH 5.0, AAPL on NYSE OpenBook Ultra, and AAPL on NYSE Trades as three distinct listings. The following table provides more of such examples.

Listings

On Databento, a listing is an instrument specific to a certain venue, which is not transferable or representable across other venues (non-fungible). While this makes a listing synonymous with an instrument for equities, it's important to be mindful of the distinction if you intend on extending into other asset classes.