Product roadmap

Add a schema for calculated metrics like options greeks, e.g. implied volatility, delta, etc.

Only regular trading hours are supported currently.

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). Keywords: Market calendar, trading holidays.

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.

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

e.g. for S&P 500.

It would be helpful if OPRA trade conditions were included in the normalized schemas. This is useful information that's currently lost during normalization. Also include the "message type" of each last sale message. Similar to: https://roadmap.databento.com/roadmap/us-equity-trade-condition-codes

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.

Full order book feed for LSE securities — including full depth pricing data, auction imbalance, and instrument trading status. Includes: LSE UKLSE InternationalLSE European See also: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/lse-turquoise

FedWatch data. As found on https://www.cmegroup.com/market-data/market-data-api.html

The current guide (https://databento.com/docs/architecture/performance-optimization) was written pre-launch and now best practices have drifted a bit.

e.g. From BrokerTec or NASDAQ Fixed Income.

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.

To extend support to browser-based applications.

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