Product roadmap

Currently, n and v continuous symbology is supported in historical data but not live data. Live data only supports c (calendar-based) continuous symbology, which is less useful.

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)

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

Right now you can go from DBN to Pandas dataframe but not the other way around. I want to merge 2 datasets and save it as a DBN file.

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.

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

Currently, multi-leg products (spreads, strategies, combos) on CME/ICE are hard to use because our instrument definitions do not provide metadata about each underlying leg. The user has to infer the legs from the symbol. This is a form of lossy normalization, since CME/ICE does provide this in their security definitions in a repeating group, but our fixed instrument definition schemas are forced to discard this—they only provide the the instrument_id of the first underlying instrument through underlying_id. In the meantime, our recommendation to users is to either infer this from the symbol OR download the raw security/instrument definitions from the exchange (e.g. CME's is free on their FTP) OR get a pcap subscription from us. If you need historical secdefs copied from CME (since their FTP site only gives 1 day history), we can provide a courtesy backfill of these for a fixed cost.

Currently, US equities data prior to 2018-05-01 is not available.

Documentation for how to use the the order book from MBO data for visualizing the evolution of limit order book over time as heatmap. For instance every 10 seconds a snapshoot of the order book of historical 6E futures data is taken. Now a heatmap (exp.: Seaborn) is generated, showing price levels on y axis and timeincrements of 10 seconds on the x axis. The color intensity of the boxes depends on the size of the limitorders. Maybe this idea is an good example for implementing the heatmap with json, d3, ...

It would be great if Japan Exchange Group (Nikkei 225, etc) could be supported. CME Nikkei 225 volume is too low.

The ability to remove tickers from an already started live data subscription.

Data for Deutsche Boerse Equities, including all schemas (MBO, MBP, ohlcv, etc)

Request for supporting Japanese market data. Tokyo Stock Exchange (TSE)

Futures Symbol : NQ The fields: DateTime, Open, Close, High, Low, Volume, AskVolume, BidVolume. interval: 1 minute duration: One year history data The most important is that the data must include the acurate AskVolume and BidVolume Traded. How much does it cost? Thank you very much for your help.

Hello, you have just replied to me in a previous chat that you have the availability of an SPX options history per second. You proposed OHLCV-1s so I guess they are ‘last trade’ date and not ask/bid. I am more interested in the BBO on interval (BBO) type in case it is available. How many years of history do you have for SPX options BBO on interval (BBO)? Can I request a quote for such data? Thank you Translated with DeepL.com (free version)