Product roadmap

National Stock Exchange (NSE) and Bombay Stock Exchange (BSE) data.

Feature request for per-publishes BBO-1x schemas to allow more synthetic book building without the overhead of MBP-1.

Feature request to provide a consolidated bid/ask sizes at OPRA's published NBBO across all constituent exchanges. Currently, the CMBP-1 (and CBBO-1x) schema only provides the bid/ask sizes on the venue quoting the NBBO.

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.

To extend support to browser-based applications.

B3: Brazil Equities and Futures MBO data. Keywords for search purposes: Brasil Bolsa Balcão S.A., Brazilian Mercantile and Futures Exchange (BM&F), BMF, Bovespa (São Paulo Stock Exchange), Cetip (Central of Custody and Financial Settlement of Securities for the organized OTC market).

Original request from Juan Linares: "Great product but please add dark mode." There are two separate parts to this: Dark mode for the portal and main website (databento.com, databento.com/portal) Dark mode for the docs We can consider this only after Q1 2025 since we're doing a major rebranding of our website which is expected to finish by early April 2025. The new colors will make it easier for us to implement a dark mode.

Securities and futures data.

Stocks and derivatives data from the Singapore Exchange (SGX)

The current coverage for EEX covers futures and options on futures, but gas spot contracts are not currently part of the coverage. In the scope of this ticket, add support for EEX gas spot contracts under the XEEE.EOBI dataset.

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.

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.

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

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