Product roadmap

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.

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

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

Historical and live market news.

Securities and futures data.

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

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.

Currently, continuous symbology only works for CME. This should work for ICE as well.

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

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.

Our continuous contract symbology does not behave the same as continuous contracts provided on retail charting apps, which create a continuous series by applying a constant offset on each rollover month to the lead month contract. Our philosophy is generally to provide raw prices because: (a) adjustments are opaque and may introduce vendor errors, (b) this gives you flexibility to do your own custom rollover adjustments, (c) the adjusted prices will throw off certain feature/signal calculations, (d) in practice you can't hold an instrument through the roll anyway, so adjusted prices may underestimate slippage that you'll experience from crossing the spread on the legs or the listed spread. (e) there's no single rollover rule that we expect to be preferred by all customers for all symbols, e.g. rollover rule for a symbol with term structure like SR3 or a physical commodity with seasonality and more than the common quarterly expiration schedule. However, we may consider providing something like this either: a) as a convenience feature to support legacy use cases that require adjusted continuous contracts b) as a code example to show how the user can compute the appropriate price adjustment themselves

Databento's feed is based on ICE's FOD and TOP10-PL feeds and we do not overlay implied depth. This creates the appearance of less liquidity and wider spreads compared to many vendors that are using the Top5-PL Full Implied feed. While ICE has FOD Full Implied and TOP5-PL Full Implied feeds that display the implied liquidity in the book, those feeds incur a latency penalty due to the triangulation being done on the exchange side. Overlaying MBO and MBP creates several complications; we think using the direct book is better for signal generation and execution, and prefer not overlay implied MBP over MBO to form a composite book. At this time, users who are sensitive to implied orders can impute the implied book themselves. That said, we may expose the implied book for users who find this useful and prefer to compare our data to another reference.

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

It would be nice if, just like MBO, we could provide snapshot=True for bbo-1s/bbo-1m/cbbo-1s/cbbo-1m schemas. This would allow reconstructing the current top of book data much more simply. If I want to subscribe to bbo-1s data for my live trading application, I still must subscribe to the MBO data first, using snapshot=True, in order to construct the current state of the BBO, before switching over to using bbo-1s. At least that's how I understand my options.