Example of getting largest moves in US stocks during extended hours with Databento

extended_hours.py

import datetime


import databento as db
import pandas as pd


def get_df_move(date: str = '2023-06-06'):
  
    end_dt = datetime.datetime.strptime(date+'T16:00', '%Y-%m-%dT%H:%M')
    start_dt = end_dt - datetime.timedelta(days=1)
    start = pd.Timestamp(start_dt, tz='US/Eastern')
    end = pd.Timestamp(date+'T09:30:00', tz='US/Eastern')
    
    data = client.timeseries.get_range(
        dataset='XNAS.ITCH',
        schema='ohlcv-1m',
        symbols='ALL_SYMBOLS',
        start=start,
        end=end,
    )

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

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

    df['change'] = (df['close'] - df['open'])/df['open']
    return df.sort_values(by='change')


df_move = get_df_move('2023-06-06')
print(df_move)