Example of getting largest premarket moves in US stocks with Databento

premarket.py

import databento as db

client = db.Historical()
data = client.timeseries.get_range(
    dataset='XNAS.ITCH',
    schema='ohlcv-1m',
    symbols='ALL_SYMBOLS',
    start='20230606T00:00',
    end='20230606T14:30',
)

# Low-level way to get the symbology quickly
sym = data.request_symbology(client)
data._instrument_map.insert_json(sym)

# Generalize this for dates with daylight savings
df = data.to_df(tz='US/Eastern').between_time('00:00', '09:30')

# Get first and last prices for each symbol
df = df.groupby(['symbol']).agg({'open': 'first', 'close': 'last'})

df['change'] = (df['close'] - df['open'])/df['open']
df.sort_values(by='change', inplace=True)

print(df)