Product roadmap

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

Only regular trading hours are supported currently.

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.

Support Parquet as a form of encoding, aside from dbn, CSV and JSON.

e.g. for S&P 500.

It would be helpful if OPRA trade conditions were included in the normalized schemas. This is useful information that's currently lost during normalization. Also include the "message type" of each last sale message. Similar to: https://roadmap.databento.com/roadmap/us-equity-trade-condition-codes

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.

Full order book feed for LSE securities — including full depth pricing data, auction imbalance, and instrument trading status. Includes: LSE UKLSE InternationalLSE European See also: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/lse-turquoise

FedWatch data. As found on https://www.cmegroup.com/market-data/market-data-api.html

The current guide (https://databento.com/docs/architecture/performance-optimization) was written pre-launch and now best practices have drifted a bit.

e.g. From BrokerTec or NASDAQ Fixed Income.

Whether normalized historical access to CGI.CGIF for SPX and VIX can be enabled, what date coverage is available, and the cost

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.