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).

futures and futures options OHLC, OI and volume from the LME

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.

Historical and live market news.

Equity data from TSX with broker IDs (TSX is one of the few markets out there with post-trade transparency)

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)

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.

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)

https://www.nodalexchange.com/resources/market-data/

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.

We would like to see a product that is easy to pull trades (time and sales) from CME and NYMEX (I.E E-Mini futures options, and NG futures options) This feed would show all trades that occurred in a given product universe such as Natural gas. This would be a feed or bulk HTTP request that would show all options globex and OTC-block trades for natural gas. This would have outright options trades, strips, spreads, UDS, etc. If it is a spread trade, the message would also contain information about its legs.

Currently, customers that want a daily drop of the latest data files will need to either have an automated scheduler (e.g. cron, an orchestrator like Airflow or Dagster, a CI/CD agent) on their side that checks for release of the latest day of data and pulls the data. This pull-based approach can be inconvenient for some workflows that prefer a push-based approach that waits on us to upload the latest files to a S3 bucket, SFTP or rsync server, for example and triggers on new files seen in the desired destination. Alternatively, some way to notify the user of the latest available data programmatically (so they don't have to keep polling the metadata endpoint for dataset availability) can be more developer-friendly.