Product roadmap
Submit requestSubmit dataset requests and feature ideas here. For bug reports, use our chat support or issues tracker instead.
Real-time and historical index data
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.
Tessa Hollinger19
Trading calendar information
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)
Renan Gemignani4
FINRA TRACE data
Real-time and historical FINRA TRACE data.
Tessa Hollinger1
WebSocket API for live data
To extend support to browser-based applications.
Tessa Hollinger3
Consolidated US equities data
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.
Tessa Hollinger11
Parquet encoding
Support Parquet as a form of encoding, aside from dbn, CSV and JSON.
Tessa Hollinger11
Example Liquidity Heatmap on MBO Data in Python
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, ...
Daniel B3
IEX DEEP
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
Zach B0
Render API documentation to a single PDF or text-like format
This request is to make the API documentation available for download so it can be referenced offline.
Nicholas James Macholl0
Add dark mode
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.
Juan L0
Add method to the DBNStore for indefinite iteration/tailing
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.
Nicholas James Macholl0
Price data for zero coupon inflation swaps
As requested in Slack HQ community. See screenshot for OTC sources for comparable coverage vs. Bloomberg Terminal.
Tessa Hollinger0
CFE Book Depth
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).
Zach Banks5
Eurex EOBI dataset
Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).
Renan Gemignani11
Cboe FX ITCH (forex, foreign exchange)
All orders plus last look quotes from 35 major banks and non-bank LPs, on one of the largest FX venues.
Tessa Hollinger11