list_sofr_instruments.py

import databento as db


client = db.Historical()

data = client.timeseries.get_range(
    dataset='GLBX.MDP3',
    schema='definition',
    symbols='ALL_SYMBOLS',
    start='2023-12-27',
    end='2023-12-27',
)
df = data.to_df()

is_rates = df.underlying_product == 14      # only interest rate products 
is_fut = df.security_type == 'FUT'          # futures outrights, no options 
is_sofr = df.asset == 'SR3'                 # SOFR futures

sr3_symbols = df[is_rates & is_fut & is_sofr].raw_symbol
print(sr3_symbols)

data = client.timeseries.get_range(
    dataset='GLBX.MDP3',
    schema='statistics',
    stype_in='raw_symbol',
    symbols=sr3_symbols.tolist(),
    start='2023-12-27',
    end='2023-12-27',
)
df = data.to_df()

print(df[df.stat_type == 9].symbol.unique())    # only symbols with nonzero OI