Product roadmap

It might be possible to obtain CME trading session hours systematically in historical captures of the instrument definition messages, as embedded in tag-1682=MDSecurityTradingStatus. This ties to another proposed feature here.

As published here, the recommended roll dates for equity futures do not correspond to the contract expiration. There is currently no continuous symbology which matches these published dates.

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 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.

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.

Makes all of our historical and live features easier to integrate in JavaScript.

This request is to make the API documentation available for download so it can be referenced offline.

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

This would allow a user to get the latest published value of any given schema at a specified time in the past. Likely endpoint names for this would be either timeseries.get_last_asof or timeseries.get_snapshot_asof. The main benefit of this would be to reduce the cost for customers who wish to subsample the certain schemas like MBP-1, but also to look up some forms of static data (this will be more useful for corporate actions and events data). Currently, some customers are more cost-sensitive and rely on a large number of API requests to look back for the last value, e.g. of MBP-1 to get top of book, in some subsampling interval. Note however the benefit of this is diminished for price schemas when subsampled BBO and trades are released. See also: List of other snapshot features on the roadmap

Currently, Databento provides top-of-book data for EDGO, XCBO, C2OX, BATO via the OPRA.PILLAR dataset. In the scope of this request, provide data for those venues as standalone datasets with market depth/mbo data.

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.

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).

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.