Product roadmap

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.

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. Likely endpoint names for this would be either timeseries.get_last or timeseries.get_snapshot. The main benefit of this would be to support ticker tape-type use cases, especially when we've enabled entitlements to intraday data through the HTTP API. See also: List of other snapshot features on the 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.

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).

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

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

Report by Stefan: client.symbology.resolve( dataset="GLBX.MDP3", symbols=['ES.v.0', 'ES.v.1'], stype_in="continuous", stype_out="instrument_id", start_date="2025-01-01", end_date="2025-06-01", ) returns something like: {'result': {'ES.v.0': [{'d0': '2025-01-01', 'd1': '2025-03-19', 's': '5002'}, {'d0': '2025-03-19', 'd1': '2025-06-01', 's': '4916'}], 'ES.v.1': [{'d0': '2025-01-01', 'd1': '2025-03-19', 's': '4916'}, {'d0': '2025-03-19', 'd1': '2025-03-23', 's': '5002'}, {'d0': '2025-03-23', 'd1': '2025-06-01', 's': '14160'}]}, 'symbols': ['ES.v.0', 'ES.v.1'], 'stype_in': 'continuous', 'stype_out': 'instrument_id', 'start_date': '2025-01-01', 'end_date': '2025-06-01', 'partial': [], 'not_found': [], 'message': 'OK', 'status': 0} Per issue report: "ES.v.0 rolls from contract 5002 to 4916 on the 19th, however ES.v.1 doesn't roll from 4916 to 14160 on the same day. Instead, it switches temporarily to the former front contract 5002. The logic naively just sorts every day by volume." It's likely this will need to be addressed introducing another roll rule rather than changing the behavior of existing roll rules, since we suspect this will glitch on symbols like SR3, ZQ, GC, which don't automatically have a monotonic decay in volume/OI the further out you go on expiration month. This roadmap ticket also tracks the implementation of time-to-expiry style roll rules, e.g. roll on T-1, ..., T-7 of expiration, similar to that found on other institutional data providers like Bloomberg. See also: https://roadmap.databento.com/roadmap/position-limit-rollover-rule-for-continuous-contract-symbology

right now after i download the Instrument Defs data i have to manually derive the contract cycle and then tag it myself, would be amazing if i didn't have to do that... since for Opra options it also requires me to maintain a market holidays calendar and then check for expiration rollbacks etc. for CMEs it just requires storing and matching the root symbology, so it's less error prone, but still a very manual process. and obviously knowing the cycle is extremely vital when you're doing things like choosing contracts to interpolate over to calculate variance strips, or things like for CME options calculating tick rules which for some (like SR3) depend on the cycle... etc

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)

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.

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.

This ticket tracks the feature of releasing historical data as early as permissible. Currently, we embargo historical data strictly at a 24h cutoff to ensure that it is distributed safely as historical data for every venue, thus sidestepping real-time/delayed licensing requirements for our users. However, many venues actually define their "historical" boundary as the same date in venue local timezone OR the session end. So in theory, if a session ends at 8 PM ET, it would be possible to distribute data from the same day at 7.59 PM ET at 8 PM ET. Currently, to get data from within the trading session, you must use the live API (through Raw API or a live client of the Raw API). However, the Raw API can be unwieldy for a range of use cases that require a small amount of data from the current trading session. For example, if the user only needs a few instrument definitions, settlement prices, or wants to update a ticker tape based on subsampled OHLCVs, it is usually preferred to use a request-response model like our HTTP API; setting up and tearing down a stateful TCP subscription for the live API is probably too hefty for this feature. Once released, users should be able to access intraday historical data via HTTP API so long as they have a live data entitlement. See also: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/provide-snapshots-for-historical-and-live-data

e.g. for S&P 500.

e.g. Shares outstanding, short interest, market capitalization, P/E ratio etc.