Product roadmap

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

The earliest that our tick history (L1 and better) goes back to is 2018, which is the start of our Nasdaq TotalView-ITCH coverage. While backfill of daily/OHLCV/L0 data is in progress, which will bring daily history back to at least 2010, we have no immediate plans to backfill our tick history yet. The root issue is that we cannot find a quality source that we trust for this granularity of data prior to 2018. While several sources exist, most of them do not meet our accuracy/quality control standards. This ticket tracks backfill of US equities - especially tick history for those venues - back to before 2018.

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.

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

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

The legacy live usage-based plans allowed users to access L2/L3 data. However L2/L3 were pulled from the Standard plan. One possibility to increase the value of the Standard plan is to offer limited access to L2/L3, perhaps gated by a quota on symbol subscriptions per account, etc.

Securities and futures data.

Stocks and derivatives data from the Singapore Exchange (SGX)

This ticket tracks all Euronext cash and derivatives markets. This includes, for example: Euronext Milan (formerly Borsa Italiana)Euronext Paris futures (CAC40, Milling Wheat, Corn, Rapeseed, etc.)Euronext Paris equitiesEuronext AmsterdamEuronext OsloEuronext BrusselsEuronext LisbonEuronext DublinLuxembourg Stock Exchange (LuxSE)

This client library makes all our historical and live features easier to integrate in R on Windows, Linux, and Mac OS. R is currently already supported through our HTTP API and Raw TCP protocol, which are both language-agnostic.

All Cboe Europe on-book equities markets - BXE, CXE, DXE. Captured at Equinix LD4.

right now after i download the Instrument Defs data i have to manually derive the contract cycle and then tag it myself, would be amazing if i didn't have to do that... since for Opra options it also requires me to maintain a market holidays calendar and then check for expiration rollbacks etc. for CMEs it just requires storing and matching the root symbology, so it's less error prone, but still a very manual process. and obviously knowing the cycle is extremely vital when you're doing things like choosing contracts to interpolate over to calculate variance strips, or things like for CME options calculating tick rules which for some (like SR3) depend on the cycle... etc

Currently, it is not possible to subscribe to CMBP-1 of all OPRA symbols at once with the ALL_SYMBOLS parameter. OPRA is the lone exception where we restrict users from subscribing to CMBP-1 for all symbols at this time, because the feed is too large (1~ Gbps average, 1.4+ million contracts) to be consumed over public internet for practically all users. Even if you have enough bandwidth, your client will need to be very fast to avoid TCP backpressure. To get access to all OPRA symbols real-time, you'll need to shard symbols across multiple connections. This roadmap ticket tracks the introduction of compression and conflation to subscribe to all symbols over internet.

Currently, batch download for OPRA as the full dataset is large. Some of our filtering algorithms scan through the full dataset sequentially, so the batch download jobs could spend hours in I/O. For example, when fetching QQQ.OPT from a day of 11.2 TB uncompressed data, it spends 1+ hour in I/O alone just going through the ~11.2 TB of unrelated data.