Product roadmap

Currently, the cleared volume statistic for iMpact feeds is calculated by summing the volumes reported in the Market Statistics Message. This is a lossy normalization over the statistics provided by this message. The proposal is to expose these volumes, likely as new statistics types or another field, indicating the type of volume.

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.

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.

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

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

Most comprehensive, order-by-order view of all events in the NYSE equities market. Combines both orders and trades, providing more determinism than OpenBook feed. Also contains auction imbalance records.

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)

Documentation for how to use the the order book from MBO data for visualizing the evolution of limit order book over time as heatmap. For instance every 10 seconds a snapshoot of the order book of historical 6E futures data is taken. Now a heatmap (exp.: Seaborn) is generated, showing price levels on y axis and timeincrements of 10 seconds on the x axis. The color intensity of the boxes depends on the size of the limitorders. Maybe this idea is an good example for implementing the heatmap with json, d3, ...

A Security Master for Global Corporate Actions data. External symbology mappings since 2005. Includes Bloomberg FIGI, ISINs, CFIs, FISNs, and CIKs.

London Stock Exchange equities L1 quotes

Why do I have breaks in the 1 second download interval ? 24-11-18 12:07:46,5917.50,5917.75,5917.50,5917.50,72 2024-11-18 12:07:47,5917.50,5917.50,5917.50,5917.50,2 2024-11-18 12:07:50,5917.75,5917.75,5917.50,5917.50,7 2024-11-18 12:07:51,5917.50,5917.50,5917.00,5917.00,29 2024-11-18 12:07:52,5917.00,5917.00,5917.00,5917.00,47 2024-11-18 12:07:53,5917.00,5917.00,5917.00,5917.00,12 2024-11-18 12:07:54,5916.75,5917.00,5916.75,5917.00,57 2024-11-18 12:07:55,5917.25,5917.25,5917.00,5917.00,17 2024-11-18 12:07:56,5917.00,5917.50,5917.00,5917.50,19 2024-11-18 12:07:57,5917.50,5917.75,5917.25,5917.50,45 2024-11-18 12:07:58,5917.75,5917.75,5917.75,5917.75,1 2024-11-18 12:07:59,5917.75,5918.00,5917.75,5918.00,124 2024-11-18 12:08:00,5918.00,5918.25,5918.00,5918.00,148 2024-11-18 12:08:01,5918.00,5918.00,5917.75,5918.00,10 2024-11-18 12:08:02,5918.00,5918.25,5918.00,5918.25,58 2024-11-18 12:08:03,5918.00,5918.25,5918.00,5918.00,75 2024-11-18 12:08:04,5918.00,5918.00,5918.00,5918.00,6 2024-11-18 12:08:05,5918.00,5918.00,5918.00,5918.00,4 2024-11-18 12:08:06,5918.00,5918.00,5917.50,5917.75,164 2024-11-18 12:08:07,5917.50,5917.75,5917.50,5917.75,56 2024-11-18 12:08:08,5917.75,5917.75,5917.75,5917.75,71 2024-11-18 12:08:09,5917.50,5917.50,5917.25,5917.50,94 2024-11-18 12:08:10,5917.50,5917.50,5917.50,5917.50,20 2

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)

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.

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).