Product roadmap
Submit requestSubmit dataset requests and feature ideas here. For bug reports, use our chat support or issues tracker instead.
Parquet encoding
Support Parquet as a form of encoding, aside from dbn, CSV and JSON.
Tessa Hollinger11
Intraday CBOE Open-Close Volume Summary (C1, C2, EDGX, BZX)
The Intraday Open-Close dataset classifies every options trade across Cboe exchanges by participant, side, position, and size, delivering intraday (1-minute or 10-minute) volume analytics to track market behavior and positioning.
Sarah C0
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 Gemignani5
Eurex EOBI dataset
Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).
Renan Gemignani13
WebSocket API for live data
To extend support to browser-based applications.
Tessa Hollinger6
CME trading session hours
It might be possible to obtain CME trading session hours systematically in historical captures of the instrument definition messages, as embedded in tag-1682=MDSecurityTradingStatus. This ties to another proposed feature here.
Tessa Hollinger1
London Metal Exchange
futures and futures options OHLC, OI and volume from the LME
Felix E0
Singapore Exchange (SGX) data
Stocks and derivatives data from the Singapore Exchange (SGX)
Carter Green0
B3 UMDF Dataset
Brazil Equities and Futures MBO data.
Renan Gemignani2
Add Polars support to `to_df` method
Could we add support to make the result of DBNStore.to_df a Polars dataframe as well? Perhaps the function signature could just be overloaded with a to_polars: bool argument. Something like: In Python @overload def to_df(self, to_polars: Literal[False]) -> pd.DataFrame: ... @overload def to_df(self, to_polars: Literal[True]) -> pl.DataFrame: ... Or, maybe to_df is split into two different functions to_pandas and to_polars. Either way, it would be helpful to avoid having to do pl.from_pandas(store.to_df().reset_index(drop=False)). Plus, Polars can convert to pyarrow-Pandas zero-copy, but not the other way around.
Aidan L1
Provide adjusted continuous contract
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
Tessa Hollinger2
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 Hollinger24
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 Banks10
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 Hollinger12
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 Hollinger13