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WebSocketFinance & Macro

Databento Live API (CME Interest-Rate Futures Streaming)

Databento Live API (CME Interest-Rate Futures Streaming) is a websocket from Databento providing finance & macro data. Databento is a market-data platform that streams real-time, normalized CME interest-rate futures — including ZQ (30-Day Fed Funds) and SOFR futures from the GLBX.MDP3 dataset. A Polymarket bot uses it to ingest the raw futures prices that feed implied Fed-rate-probability models for pricing FOMC, CPI and recession markets.

At a glance

ProviderDatabento
TypeWebSocket
CategoryFinance & Macro
Real-timeYes — streaming
AuthAPI key
PricingFree $125 historical credits; usage-based ($/GB) or subscription from $199/mo (Standard) — Free: $125 in historical-data credits on signup (expire after 6 months, one per team), Usage-based / pay-as-you-go: per-uncompressed-GB ($/GB); live data billed via license fee + per-message charges, Standard subscription: $199/mo (existing customers grandfathered at $179/mo for 12 months), Plus & Unlimited: higher tiers for firms needing full historical access (pricing on request)

What data it provides

  • ZQ — CME 30-Day Federal Funds futures (real-time, the core Fed-rate-probability input)
  • SOFR (Three-Month and One-Month) interest-rate futures
  • Full CME Globex order book via GLBX.MDP3 (MBO/MBP-10, trades, BBO, OHLCV)
  • Tick-level trades and quotes with venue-precision timestamps
  • Other CME rate products (Treasury futures, Eurodollar legacy) and broader equities/options/crypto datasets

Features

  • Real-time Live streaming gateways (raw binary over TCP) with ~6.1 μs median internal gateway latency; ~64 μs network-gateway latency via DPDK acceleration
  • Client SDKs for Python, C++ and Rust; raw binary (DBN) protocol plus HTTP/historical API; CSV/JSON/DBN output
  • Deep historical archive (CME data back ~2010) alongside the live feed for backtesting
  • DBN zero-copy binary encoding for low-latency, immutable normalized records
  • Broad multi-venue coverage (60+ venues) beyond CME interest-rate futures
  • Schemas from full order book (MBO) down to BBO/OHLCV; subset symbols to control cost

Links

Use it in a bot

Other finance & macro data sources

Listed, not endorsed. Pricing and capabilities change without notice — check the provider's own documentation before you depend on anything here. Browse the full data resources directory or the strategy database.
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