Product roadmap

https://www.cftc.gov/MarketReports/CommitmentsofTraders/index.htm

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

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.

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

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

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

i'm in a situation where because i'm interested in MBP-1 streams for specific options contract sets (and many of them) that once i unroll the contract sets into strikes and then request the quote streams for each strike... i have so many symbols that i have to split my request into multiple requests... and now all of a sudden i have unsorted quotes that i need to buffer and then resort before writing into my database. i could avoid this by using Parent symbology (say ES.OPT), but then i'd be forced to download endless terabytes of extra data, only to filter and throw away most of it upon receipt. the optimal solution would be if you guys extended the Parent symbology so that i could do something like ESM5.OPT, requesting quotes per contract set, and not by every contract set that is listed over the request timeframe. (or just got rid of the total symbols per request limits... but i assume they're in place for some realistic reason).

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

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).

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