Product roadmap
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ICE iMpact: ICE US Futures
For ICE US futures including US softs and financials, such as cocoa, cotton, sugar, frozen orange juice, canola, world cotton, US grains, precious metals, MSCI indices, all currency pairs, and US Dollar Index. This was previously tied to this ticket for ICE Futures Europe and ICE Endex. However, we've decided to release ICE Futures Europe and Endex first separately from ICE US.
Tessa Hollinger#Datasets πΆ7
Equities reference, fundamental and static data
e.g. Shares outstanding, short interest, market capitalization, P/E ratio etc.
Tessa Hollinger#Datasets πΆ#APIs π2
HKEX
Securities and futures data.
Tessa Hollinger#Datasets πΆ0
Singapore Exchange (SGX) data
Stocks and derivatives data from the Singapore Exchange (SGX)
Carter Green#Datasets πΆ0
T-1 resolution of continuous symbology mapping
By the time of publication of historical data, e.g. 11 AM UTC of the next day for CME (this will soon be updated to T+8 hours of session close for CME with the embargo feature described in https://roadmap.databento.com/b/n0o5prm6/feature-ideas/release-historical-data-as-soon-as-possible-based-on-licensing-requirements-including-intraday), we already have the mapping of the next day's continuous contract symbology. Reason for this is that our continuous contract symbology is always a one-day-ahead forecast based on the previous day's data so that it never has lookahead bias. So for example, by before 11:00 UTC on Nov 23, the continuous contract symbology for Nov 24 00:00 UTC would already have been determinable within Databento's systems. However, the real-time gateway has two shortcomings at the moment: It currently only supports calendar rollover, not open interest or volume rollover.It doesn't update the symbology table intraweek, i.e. it doesn't support T-1 resolution of continuous contract. (1) makes it impossible to use continuous contract symbology to be aware of an upcoming calendar rollover ahead of time. At this time, customers will need to determine the rollover date themselves from the instrument definitions (e.g. the expiration field) or the trading calendar at this time. This will be addressed in this ticket: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/support-full-continuous-symbology-for-live-data (2) also poses an issue, since calendar rollover is not very useful and it's more useful to know the open interest or volume rollover. This ticket addresses (2). We will need to expose a different interface for customers to access the next day's continuous contract symbology sooner. This may be especially useful on the day of rollover.
Tessa Hollinger#APIs π0
Live tick aggregation
is it possible to throttle the tick API to only stream a response back once a certain amount of ticks have been executed? Iβm working on simulating a tick chart from raw live tick data, and have some financial products I aggregate a different tick levels. I have to do this tick aggregation myself, just wondering if thereβs an out of the box solution.
Zach G#APIs π0
EBS FX data
Any EBS feed, e.g. EBS Live.
Tessa Hollinger#Datasets πΆ0
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#Datasets πΆ15
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#APIs π4
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#Datasets πΆ0
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#Datasets πΆ#APIs π10
WebSocket API for live data
To extend support to browser-based applications.
Tessa Hollinger#APIs π3
Eurex EOBI dataset
Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).
Renan Gemignani#Datasets πΆ9
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#APIs π9
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#Datasets πΆ6