Product roadmap

For options, including in the CME and OPRA datasets, the existing mbp-1 schema can have significant record volume despite the instruments being extremely illiquid. In practice, there are several orders of magnitude more mbp-1 records than trades, which is unwieldy to work with. Many services offer BBO summaries at a fixed interval, such as 1 or 10 minutes. This would be similar to the ohlcv-1m schema, but include BBO information that is present in mbp-1 and tbbo instead of only containing trades. This would be a new schema (or set of schemas). What kind of information would you like to see in the MBP-1 summary message? Edit: Adding a few keywords here to facilitate search—subsampled BBO, subsampled MBP-1, MBP-1 snapshots.

European Energy Exchange futures data

I would be nice to have swaps and swaptions data for main currencies but also for EMEA countries.

Add a schema for calculated metrics like options greeks, e.g. implied volatility, delta, etc.

Currently, multi-leg products on CME/ICE are hard to use because our instrument definitions do not provide metadata about each underlying leg. The user has to infer the legs from the symbol. This is a form of lossy normalization, since CME/ICE does provide this in their security definitions in a repeating group, but our fixed instrument definition schemas are forced to discard this—they only provide the the instrument_id of the first underlying instrument through underlying_id. In the meantime, our recommendation to users is to either infer this from the symbol OR download the raw security/instrument definitions from the exchange (e.g. CME's is free on their FTP) OR get a pcap subscription from us. If you need historical secdefs copied from CME (since their FTP site only gives 1 day history), we can provide a courtesy backfill of these for a fixed cost.

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

Everyday the CME publishes settlements on all listed options. Included are BBOs/OI/Volume/ etc

I am looking for historical data, specifically for open interest on expired options contracts. Here is an example of the query I would want to do. I have the options ticker O:AAPL240510C00190000 and I would want to know the open interest on that ticker for 2024-05-09? Also I am using python code. Thank you for your help with this!

Currently, there are several areas where security around our API keys could be hardened. This ticket tracks the scope of 2 specific improvements: The doc site embeds your production API key in all of the examples when you're logged in. (A) Users who are inexperienced with API integrations may not have read the Securing your API keys guide and could quite easily make the mistake of copying and pasting their keys somewhere insecure, e.g. source control, Databento Slack community. (B) Users who are screensharing could accidentally reveal their API keys.The portal API keys page doesn't hide the API keys, so someone who's screensharing could easily reveal their API keys there as well.

Add China Ashare data

Dividends, stock splits, mergers, ticker changes, adjusted EOD historical prices.

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)

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.

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.