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.

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.

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.

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

We've received some requests recently for Binance data. Please upvote if this is of interest. We're still determining whether this is worth the risk.

e.g. for S&P 500.

We've received some requests recently for Kraken data. Please upvote if this is of interest. We're still determining whether this is worth the risk.

Only regular trading hours are supported currently.

Make our historical and live APIs easier to integrate from Java.

At the moment, options data users have to rely on fetching the definition schema and filtering for symbols that they're interested in using fields like expiration, asset, underlying_product, instrument_class, group, and strike_price. It would be convenient to fetch the options or options chains with particular conditions on expiration and strike price without going through the definition schema. This would be similar to smart symbology for futures. Note that even after this feature is released, we still recommend users to use definition as it gives more control and transparency over the symbology resolution.

Databento's feed is based on CME's MBO feed and we do not overlay implied depth from the MBP feed. This creates the appearance of less liquidity and wider spreads compared to many vendors that are only using the MBP feed. Overlaying MBO and MBP creates several complications; we think using the direct book is better for signal generation and execution, and prefer not overlay implied MBP over MBO to form a composite book. At this time, users who are sensitive to implied orders can impute the implied book themselves. That said, we may expose the implied book for users who find this useful and prefer to compare our data to another reference.

Several equities prop feeds provide market participant IDs (MPIDs). Currently, our normalized MBO format is lossy at the moment and fails to expose these MPIDs, and our only partial solution is to provide raw pcaps from which these can be extracted. This ticket will also partly facilitate this: https://roadmap.databento.com/roadmap/raw-data-via-api

This ticket tracksthe setup of Databento's layer 1 network architecture. We anticipate this in Aurora I initially, then several venues in NY4, followed by FR2. At the moment, our data takes at least one layer 3 hop before getting to our capture server. Hardware timestamps are taken on the host. This results in some additional latency (about 500-550 ns for the layer 3 hop) and timestamping jitter. This also results in more inconsistency (typically at the sub-microsecond level) across hosts. The new layer 1 architecture will replace the layer 3 hop, cutting down 500-550 ns to 5 ns, achieve better timestamping consistency between our hosts, and lower jitter from the exchange handoff.

Cboe 1-Day Volatility Index INDEXCBOE: VIX1D

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.