Product roadmap

Macroeconomic data releases, such as: Jobs Inflation, e.g. CPI FOMC

The current coverage for EEX (XEEE.EOBI datataset) does not include settlement price and open interest for EEX Japanese power futures.

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.

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

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.

futures and futures options OHLC, OI and volume from the LME

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

National Stock Exchange (NSE) and Bombay Stock Exchange (BSE) data.

Could we add support to make the result of DBNStore.to_df a Polars dataframe as well? Perhaps the function signature could just be overloaded with a to_polars: bool argument. Something like: In Python @overload def to_df(self, to_polars: Literal[False]) -> pd.DataFrame: ... @overload def to_df(self, to_polars: Literal[True]) -> pl.DataFrame: ... Or, maybe to_df is split into two different functions to_pandas and to_polars. Either way, it would be helpful to avoid having to do pl.from_pandas(store.to_df().reset_index(drop=False)). Plus, Polars can convert to pyarrow-Pandas zero-copy, but not the other way around.

Support AWS S3 as an additional method of delivery, aside from HTTP and FTP.

Stocks and derivatives data from the Singapore Exchange (SGX)

B3: Brazil Equities and Futures MBO data. Keywords for search purposes: Brasil Bolsa Balcão S.A., Brazilian Mercantile and Futures Exchange (BM&F), BMF, Bovespa (São Paulo Stock Exchange), Cetip (Central of Custody and Financial Settlement of Securities for the organized OTC market).

Currently, the cancel action type C is used for both actual order cancellations and trade-related deletions. This makes it hard to construct features based on order cancellations as they need to keep history of trades or fills and ignore cancellations that come after. To solve this, we'll be introducing a delete action type D to delete orders after a trade.

Currently, we only support the standard Python versions and not the free-threaded interpreters. Supporting this will require some work in databento-dbn and perhaps dependencies of the databento package.

Currently any unresolved symbol results in the session ending and the connection being closed. The live API should have non-fatal errors for issues like an unsupported schema and symbols that fail to resolve. This is tracked internally as D-579