Product roadmap

Currently, indices are indirectly supported through tradable index instruments on CME futures, ETFs, etc. and we don't provide the index values (non-tradable) themselves. This may be sourced from a feed like the Cboe Global Indices Feed or NYSE Global Index Feed.

This feature would allow the user to request trading calendar information (such as trading session start/end times) via our API. This is especially useful when considering trading sessions that can span multiple UTC dates (and hence the possibility of having multiple trading sessions within a single day). Keywords: Market calendar, trading holidays.

All orders plus last look quotes from 35 major banks and non-bank LPs, on one of the largest FX venues.

Add a schema for calculated metrics like options greeks, e.g. implied volatility, delta, etc.

Support Parquet as a form of encoding, aside from dbn, CSV and JSON.

Historical and live market news.

Currently, multi-leg products (spreads, strategies, combos) on CME/ICE are hard to use because our instrument definitions do not provide metadata about each underlying leg. The user has to infer the legs from the symbol. This is a form of lossy normalization, since CME/ICE does provide this in their security definitions in a repeating group, but our fixed instrument definition schemas are forced to discard this—they only provide the the instrument_id of the first underlying instrument through underlying_id. In the meantime, our recommendation to users is to either infer this from the symbol OR download the raw security/instrument definitions from the exchange (e.g. CME's is free on their FTP) OR get a pcap subscription from us. If you need historical secdefs copied from CME (since their FTP site only gives 1 day history), we can provide a courtesy backfill of these for a fixed cost.

It might be possible to obtain CME trading session hours systematically in historical captures of the instrument definition messages, as embedded in tag-1682=MDSecurityTradingStatus. This ties to another proposed feature here.

This ticket tracks all Euronext cash and derivatives markets. This includes, for example: Euronext Milan (formerly Borsa Italiana)Euronext Paris futures (CAC40, Milling Wheat, Corn, Rapeseed, etc.)Euronext Paris equitiesEuronext AmsterdamEuronext OsloEuronext BrusselsEuronext LisbonEuronext DublinLuxembourg Stock Exchange (LuxSE)

Trades in US equities that happen off-exchange are reported to one of three TRFs. NYSE provides information on trades reported to their TRF through their "NYSE Trades" feed. More information available here: https://www.nyse.com/markets/nyse/market-info

KRX futures (e.g., Kospi, 10Y Korean government bond future) and options data.

Note: This is not typically included in corporate actions (which are available) or fundamentals (https://roadmap.databento.com/b/n0o5prm6/feature-ideas/equities-reference-fundamental-and-static-data).

Subject: Estimate request for filtered SPX/SPXW OPRA.PILLAR 0DTE/1DTE morning gamma research dataset Hello Databento team, I am evaluating whether OPRA.PILLAR raw data is a practical alternative to buying a finished SPX/SPXW gamma product. I need an estimate only, not a download. Target scope: Dataset: OPRA.PILLARUnderlyings/options: SPX and SPXW onlyDate range: 2022-03-01 through the latest full historical day availableExpiries: 0DTE and 1DTE onlyStrike filter: contracts within SPX spot/open +/- 5% for each dateMinimal snapshot times: 09:15, 09:30, 09:40, 10:00 EasternRich version: every 5 minutes from 09:15 through 11:30 EasternPrimary schema candidate: cbbo-1mFallback schemas to size: cbbo-1s, and cmbp-1 only if exact quote-state reconstruction is requiredSupporting schemas: definition, statistics or open interest, and either trades or ohlcv-1m for volume Questions: Does Databento provide precomputed historical IV, delta, gamma, or GEX for SPX/SPXW OPRA data? If yes, what dataset/schema/fields and timestamps are available?Can your cost/size estimate apply the dynamic filters above before retrieval: SPX/SPXW only, 0DTE/1DTE, and daily spot/open +/- 5% strike window?If not, what is the smallest supported way to estimate and pull this without retrieving the full SPX/SPXW chain?What is the recommended SPX index spot/open source to pair with OPRA.PILLAR for intraday IV/gamma calculations?Are there special caveats for 2022-03-01 through 2023-02-27, given OPRA pre-2023-02-28 data limitations?Can you provide estimated billable size and cost for: Please treat this as an estimate-only request. thx!

"My bot subscribes to EQUS.MINI live (mbp-1) during US market hours. On July 2 I was receiving ~140,000 records per 5 minutes normally, but since July 6 my application receives quote data but no trade (action='T') events, so last prices never update. My Data usage page shows EQUS.MINI = 0 GB for July 1-8, even though the last 12 hours includes a full US session. Is my EQUS.MINI live subscription active and delivering trades? Did anything change on my account around July 3-6?"

Currently, equities is supported via individual prop feeds of each venue. While NASDAQ is sufficient for getting NBBO for most of the time, some users prefer something that will be more in line with actual NBBO from SIPs. This feature request tracks 3 possible modes of consolidation for both historical and live data: Databento server-side consolidation of multiple proprietary feeds Consolidated data from proprietary feed like Nasdaq Basic in lieu of SIP Consolidated data from CTA/UTP SIPs We plan on implementing 1-2 of these three options.