Product roadmap

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).

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

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

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.

To extend support to browser-based applications.

From EEX CEF Core feed EEX EOBI feed. This will include order-by-order data as well as less granular formats, such daily settlements, definitions, etc.

Make our historical and live APIs easier to integrate from Java.

At the moment, options data users have to rely on fetching the definition schema and filtering for symbols that they're interested in using fields like expiration, asset, underlying_product, instrument_class, group, and strike_price. It would be convenient to fetch the options or options chains with particular conditions on expiration and strike price without going through the definition schema. This would be similar to smart symbology for futures. Note that even after this feature is released, we still recommend users to use definition as it gives more control and transparency over the symbology resolution.

https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm

Currently, we only support the standard Python versions and not the free-threaded interpreters. Supporting this will require some work in databento-dbn and perhaps dependencies of the databento package.

This ticket tracksthe setup of Databento's layer 1 network architecture. We anticipate this in Aurora I initially, then several venues in NY4, followed by FR2. At the moment, our data takes at least one layer 3 hop before getting to our capture server. Hardware timestamps are taken on the host. This results in some additional latency (about 500-550 ns for the layer 3 hop) and timestamping jitter. This also results in more inconsistency (typically at the sub-microsecond level) across hosts. The new layer 1 architecture will replace the layer 3 hop, cutting down 500-550 ns to 5 ns, achieve better timestamping consistency between our hosts, and lower jitter from the exchange handoff.

As described in this issue ticket (https://issues.databento.com/b/6vrl98vl/feature-ideas/incorrect-scaling-of-strike-price-in-definition-schema-for-some-cme-options), CME has inconsistent rules on strike price scaling that varies with product group. There is no systematic way to correct for this and adjustments must be made by hand - this is a faulty issue with CME's own security definition data. Most options trading firms maintain a table of these adjustment/display factors by hand. We decided to make this adjustment under the hood to known products affected by this, so that most of our customers who do not have their own internal adjustment table or are unaware of this underlying CME behavior will not be impacted by this issue. As a downside however, it can be counterproductive for more sophisticated firms that do have their own adjustment/display factors and need to know which strike prices have been adjusted by Databento. At the moment, it appears that the best possible follow-on solution is to provide a separate table of the adjustment/display factors applied by Databento, so firms can revert the data back to the original data.

It would be great if you guys could provide this data, even just starting from the past couple of years. There aren't any good sources online for retail.

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). Keywords: Market calendar, trading holidays.

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.