Product roadmap
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Backfill CME Globex data to Jan 2009
This feature tracks a potential backfill of our CME Globex back to Jan 2009. Note that there will be some limitations: Prior to May 2017, CME Globex used a legacy FIX/FAST format with at most 10 levels of depth, millisecond resolution timestamps, and no high-granularity match/send timestamps.We will source the data from CME directly, but they do not have pcaps going back to 2009. This means that we'll not have a separate ts_recv timestamp.We will need to consider how to handle the dataset naming, as "CME Globex MDP 3.0" will not be appropriate.
Tessa Hollinger#Datasets πΆ#APIs π5
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 π3
WebSocket API for live data
To extend support to browser-based applications.
Tessa Hollinger#APIs π3
European Energy Exchange (EEX) data
European Energy Exchange futures data
Carter Green#Datasets πΆ2
Expose metadata of every underlying leg in multi-leg futures and options
Currently, multi-leg products (spreads, strategies, combos) 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 thisβthey 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.
Tessa Hollinger#Datasets πΆ#APIs π4
London Metal Exchange
futures and futures options OHLC, OI and volume from the LME
Felix E0
CME block trades and derived block trades
Via streamlined SBE.
Tessa Hollinger#Datasets πΆ0
Eurex EOBI dataset
Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).
Renan Gemignani#Datasets πΆ8
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 πΆ4
Extend OPRA dataset history
Have a longer period of historical data for simulations and back testing
Peter L#Datasets πΆ3
Nasdaq Nordic data
Data for: Copenhagen Stock Exchange (Nasdaq Copenhagen) Stockholm Stock Exchange (Nasdaq Stockholm) Helsinki Stock Exchange (Nasdaq Helsinki) Iceland Stock Exchange (Nasdaq Iceland) Tallinn Stock Exchange (Nasdaq Baltic) Riga Stock Exchange (Nasdaq Baltic) Vilnius Stock Exchange (Nasdaq Baltic)
Tessa Hollinger#Datasets πΆ1
Binance data (cryptocurrency spot, futures, options)
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.
Christina Qi0
Security master
A Security Master for Global Corporate Actions data. External symbology mappings since 2005. Includes Bloomberg FIGI, ISINs, CFIs, FISNs, and CIKs.
Eric M Duncan#Datasets πΆ0
Human-readable raw symbols for ICE
Currently, ICE symbols are hard to use because they have raw symbols like TFO FMQ0024!. Aside from continuous contract symbology, we may want to introduce a more human-readable set of symbols that resemble raw symbols of CME products. Related: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/continuous-symbology-for-ice-data
Tessa Hollinger#APIs π0
Dataframe to DBN method
Right now you can go from DBN to Pandas dataframe but not the other way around. I want to merge 2 datasets and save it as a DBN file.
Tyler M1