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Posted March 12, 2026 at 11:40 am
The article “Evaluating Market Data APIs: Two Simple Tips” was originally published on Databento blog.
Whether you’re new to using market data APIs or on the search for a new data provider, it can be challenging to determine what a quality API looks like. In our new series, we’ll share our perspective on important factors to consider when evaluating a market data API. In this edition, we cover what we like to call the exchange smell test: when every venue is called an “exchange.”
Exchange smell test
We previously had a customer point out an API he used that had everything either prefixed with “Exg” or suffixed with “Exch.”
This name is inaccurate for several reasons:
Exchange vs. venue: why does this matter?
When an API and its documentation fail the exchange smell test, it’s a hint that the API designers have limited or no institutional trading experience and aren’t prepared to extend the API beyond stock exchanges or a handful of retail trading venues. You’ll most likely spend much of your time as your API provider’s bug hunter, with support engineers who aren’t knowledgeable of any market microstructure.
If you’re writing a financial API, whether it’s for internal or customer use, it’s better to use the term “venue” unless you’re certain you’ll only ever deal with exchanges. This naming convention may seem pedantic, but it’ll creep fast into downstream code, pair programming sessions, research meetings, and trading desk conversations. Before you know it, you’ll start saying things like “FINRA TRF exchange” or “UBS exchange.”
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This material is from Databento and is being posted with its permission. The views expressed in this material are solely those of the author and/or Databento and Interactive Brokers is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to buy or sell any security. It should not be construed as research or investment advice or a recommendation to buy, sell or hold any security or commodity. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.
Please keep in mind that the examples discussed in this material are purely for technical demonstration purposes, and do not constitute trading advice. Also, it is important to remember that placing trades in a paper account is recommended before any live trading.
There is a substantial risk of loss in foreign exchange trading. The settlement date of foreign exchange trades can vary due to time zone differences and bank holidays. When trading across foreign exchange markets, this may necessitate borrowing funds to settle foreign exchange trades. The interest rate on borrowed funds must be considered when computing the cost of trades across multiple markets.
For additional details about IBKR Alternative Trading System (ATS) please visit: https://www.interactivebrokers.com/en/index.php?f=48654
An investment in an OTC security is speculative and involves a high degree of risk. Many OTC securities are relatively illiquid, or "thinly traded," which tends to increase price volatility. Illiquid securities are often difficult for investors to buy or sell without dramatically affecting the quoted price. In some cases, the liquidation of a position in an OTC security may not be possible within a reasonable period of time.
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