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.

Real-time and historical FINRA TRACE data.

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.).

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.

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, ...

The most detailed feed available for IEX, a US equities exchange. The feed has full depth of book, consolidated by price level, along with executions and status information. More details are available here: https://www.iexexchange.io/resources/trading/market-data

When reading a DBN file that is also being written to, the DBNStore class will only iterate to the end of the file and then stop. Reading new records requires re-reading the entire file again. Adding another method/iterator that allows tailing the file being written to can enable use cases where one application writes DBN data to a file for another to read.

As requested in Slack HQ community. See screenshot for OTC sources for comparable coverage vs. Bloomberg Terminal.

When managing numerous DBN files, an application which allows managing and streaming data across those files can be helpful. Some use cases could include: stitching multiple DBN togetherquerying DBN files on disk for a particular time range and symboldetecting if a particular set of data exists on disk to avoid re-requesting it

could you please charge my most current card so that I am able to continue purchasing data?

To extend support to browser-based applications.

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