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.

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)

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

e.g. for S&P 500.

Support Parquet as a form of encoding, aside from dbn, CSV and JSON.

futures and futures options OHLC, OI and volume from the LME

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.

Historical and live market news.

Securities and futures data.

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.

Hello, I'd really like high quality equities data for european exchanges like xetra, so I created this feature request. Maybe others are interested in that as well. Even EOD would be nice as a start. Kind regards,

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.

It would be nice if, just like MBO, we could provide snapshot=True for bbo-1s data. 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-s1. At least that's how I understand my options.