Product roadmap

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.

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

Securities and futures data.

Stocks and derivatives data from the Singapore Exchange (SGX)

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.

is it possible to throttle the tick API to only stream a response back once a certain amount of ticks have been executed? I’m 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 there’s an out of the box solution.

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.

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)

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).

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.

To extend support to browser-based applications.

Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).

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.

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

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. We're introducing a new schema to resolve this. BBO on interval (bbo-1s, bbo-1m) will provide the last best bid, best offer, and sale at 1-second or 1-minute intervals. This is different from BBO on trade (tbbo), which is a subset of our MBP-1 schema and provides every trade event alongside the BBO immediately before the effect of each trade. The main distinction is that TBBO is captured in trade space, while BBO is captured in time space. Learn more in our MBP-1 vs. TBBO vs. BBO schemas guide. Update: The BBO schema will be supported for all symbols on all datasets, not only options. This description focuses on options as that's where the benefit would be maximized (since options have much larger order-to-trade ratios). We'll roll this out for CME first, followed by equities and ICE, and then OPRA.