Product roadmap

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.

e.g. for S&P 500.

We've received some requests recently for Kraken data. Please upvote if this is of interest. We're still determining whether this is worth the risk.

A schema to encompass useful EOD information in various forms. Currently, users have to extract EOD prices from ohlcv-1d. However, this is aligned to UTC midnight. Users who want EOD data based on session end or other specific conventions, e.g. 3:45 PM ET (to avoid auction) have to extract this from ohlcv-1h or ohlcv-1m data. This could be provided either in the form of a new endpoint, new schema (e.g. 'ohlcv-eod' or 'eod'), or more session/market calendar functionality.

Add trade reporting modifier flags, e.g. those found in CTS sale conditions here: https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf Similar to: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/include-opra-trade-conditions

Real-time and historical FINRA TRACE data.

Global Equity Model (GEM2 S/L) especially.

Daily net fund flows resulting from ETF creation/redemption mechanism, indicating the real capital entering or exiting the fund. This ticket also tracks shares outstanding and the net asset value (NAV) for ETFs.

Currently, querying a list of valid symbols is taxing since there's a new list every day to preserve point-in-time behavior. Many vendors simply disregard point-in-time properties and provide an endpoint that naively lists all available symbols/instruments at once. This could be useful for some use cases where API ergonomics and simplicity are more important than preserving PIT behavior.

Would be great to have futures listed in TMX, particularly the equity and bond futures (SXF, CGB, CGF etc.)

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)

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).

Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).

All orders plus last look quotes from 35 major banks and non-bank LPs, on one of the largest FX venues.