Product roadmap

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.

Historical and live market news.

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.

Kraken spot and derivatives instrument catalog, order book (L1, L2, L3) and trade data for crypto, stable/FX, perps, xStocks, etc. https://docs.kraken.com/api/docs/websocket-v2/book https://docs.kraken.com/api/docs/websocket-v2/level3 https://docs.kraken.com/api/docs/websocket-v2/trade https://docs.kraken.com/api/docs/futures-api/websocket/book https://docs.kraken.com/api/docs/futures-api/websocket/trade

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.

To extend support to browser-based applications.

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.

Currently, US equities data prior to 2018-05-01 is not available.

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

It would be great if Japan Exchange Group (Nikkei 225, etc) could be supported. CME Nikkei 225 volume is too low.

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.

Especially for US equities trading activity during non-US hours.

Databento's feed is based on ICE's FOD and TOP10-PL feeds and we do not overlay implied depth. This creates the appearance of less liquidity and wider spreads compared to many vendors that are using the Top5-PL Full Implied feed. While ICE has FOD Full Implied and TOP5-PL Full Implied feeds that display the implied liquidity in the book, those feeds incur a latency penalty due to the triangulation being done on the exchange side. 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.