Product roadmap

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  1. Trading calendar information

    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)

    Renan Gemignani

    5

  2. CFE Book Depth

    Full depth of book feed for Cboe Futures Exchange (CFE). CFE contains volatility futures and corporate bond index futures, such as VIX futures (VX, VXM).

    Zach Banks

    10

  3. WebSocket API for live data

    To extend support to browser-based applications.

    Tessa Hollinger

    6

  4. Parquet encoding

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

    Tessa Hollinger

    11

  5. CME trading session hours

    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.

    Tessa Hollinger

    1

  6. Include OPRA trade conditions

    It would be helpful if OPRA trade conditions were included in the normalized schemas. This is useful information that's currently lost during normalization. Also include the "message type" of each last sale message. Similar to: https://roadmap.databento.com/roadmap/us-equity-trade-condition-codes

    Carter Green

    1

  7. US equity trade condition codes

    Add trade reporting modifier flags, e.g. those found in CTS sale conditions here: https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf Similar to: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/include-opra-trade-conditions

    Luca L

    3

  8. Intraday CBOE Open-Close Volume Summary (C1, C2, EDGX, BZX)

    The Intraday Open-Close dataset classifies every options trade across Cboe exchanges by participant, side, position, and size, delivering intraday (1-minute or 10-minute) volume analytics to track market behavior and positioning.

    Sarah C

    0

  9. Real-time and historical index data

    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.

    Tessa Hollinger

    24

  10. Eurex EOBI dataset

    Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).

    Renan Gemignani

    13

  11. Consolidated US equities data

    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.

    Tessa Hollinger

    12

  12. Cboe FX ITCH (forex, foreign exchange)

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

    Tessa Hollinger

    13

  13. Official C# client library

    This client library makes all our historical and live features easier to integrate in C# on Windows, Linux, and Mac OS. C# is currently already supported through our HTTP API and Raw TCP protocol, which are both language-agnostic.

    Tessa Hollinger

    12

  14. Provide snapshots for historical and live data

    This serves as a master list of all other snapshot-like features on our roadmap. The scope of this ticket is potentially very large and ambiguous so we've broken this down into smaller tickets that you can follow separately. (Historical only) https://roadmap.databento.com/b/n0o5prm6/feature-ideas/add-historical-endpoint-for-latest-snapshot-of-any-schema. This would allow a user to get the latest published value of any given schema, within the boundaries allowed by licensing/entitlements/historical embargo window. The main benefit of this is for creating ticker tape or latest quote features, e.g. on a web app, after we start exposing intraday data over the historical/HTTP API (https://roadmap.databento.com/roadmap/expose-intraday-and-current-trading-session-historical-data-over-historical-http-api-and-clients). Likely endpoint names for this would be either timeseries.get_last or timeseries.get_snapshot. (Historical only) https://roadmap.databento.com/b/n0o5prm6/feature-ideas/provide-snapshots-as-of-specified-time-in-historical-api. Likely endpoint names for this would be either timeseries.get_last or timeseries.get_snapshot.(Live only) https://roadmap.databento.com/roadmap/add-periodic-mbo-book-snapshots-to-live-api. This allows a user to get the last published value of any given schema at a specified time. The main benefit of this would be to allow customers to subsample the data on server side and reduce cost, though the benefit is diminished with feature 5 on this list. Note that this would allow a user to emulate (1) relatively well since a user could potentially just pass in their current clock time or some time slightly ahead of the clock time. However, their underlying implementations would be different and (1) and (2) would likely be released separately. Likely endpoint names for this would be either timeseries.get_last_asof or `timeseries. (Live only) https://roadmap.databento.com/b/n0o5prm6/feature-ideas/allow-live-api-clients-to-request-for-mbo-snapshot-recovery. This provides resilience to gaps or data errors originating from Databento side. It could also be used for recovery of book state caused by client-side issues or disconnection, but would be less quick than feature (4) on this list.(Both historical and live) https://roadmap.databento.com/roadmap/fixed-interval-mbp-1-summaries-eg-1-minute-bbo-or-subsampled-bbo. The purpose of this is more to provide customers a convenience over fetching or subscribing MBP-1 and subsampling and forward filling the MBP-1 data themselves, which could be very expensive given the size of MBP-1 data and how the customer has no idea how far to look back for the "last" MBP-1 update prior to the 1 second or 1 minute refresh interval. Some of these are in development, hence the status of this entire ticket, however you should check on each individual one in case the specific feature you're looking for is still in Considering state.

    Tessa Hollinger

    7

  15. Index component weightings

    e.g. for S&P 500.

    Tessa Hollinger

    3