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
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 Banks4
Eurex EOBI dataset
Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).
Renan Gemignani11
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
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
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
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
API for managing a library of DBN files
When managing numerous DBN files, an application which allows managing and streaming data across those files can be helpful. Some use cases could include: stitching multiple DBN togetherquerying DBN files on disk for a particular time range and symboldetecting if a particular set of data exists on disk to avoid re-requesting it
Nicholas James Macholl0
resolve balance
could you please charge my most current card so that I am able to continue purchasing data?
Nagib G0
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
WebSocket API for live data
To extend support to browser-based applications.
Tessa Hollinger3
Official C# client library
This client library makes all our historical and live features easier to integrate in C# on Windows, Linux, and Mac OS. C# is currently already supported through our HTTP API and Raw TCP protocol, which are both language-agnostic.
Tessa Hollinger9
ICE iMpact: ICE US Futures
For ICE US futures including US softs and financials, such as cocoa, cotton, sugar, frozen orange juice, canola, world cotton, US grains, precious metals, MSCI indices, all currency pairs, and US Dollar Index. This was previously tied to this ticket for ICE Futures Europe and ICE Endex. However, we've decided to release ICE Futures Europe and Endex first separately from ICE US.
Tessa Hollinger9
Fixed-interval MBP-1 summaries (e.g. "1 minute BBO" or "subsampled BBO")
For options, including in the CME and OPRA datasets, the existing MBP-1 schema can have significant record volume despite the instruments being extremely illiquid. In practice, there are several orders of magnitude more MBP-1 records than trades, which is unwieldy to work with. We're introducing a new schema to resolve this. BBO on interval (bbo-1s, bbo-1m) will provide the last best bid, best offer, and sale at 1-second or 1-minute intervals. This is different from BBO on trade (tbbo), which is a subset of our MBP-1 schema and provides every trade event alongside the BBO immediately before the effect of each trade. The main distinction is that TBBO is captured in trade space, while BBO is captured in time space. Learn more in our MBP-1 vs. TBBO vs. BBO schemas guide. Update: The BBO schema will be supported for all symbols on all datasets, not only options. This description focuses on options as that's where the benefit would be maximized (since options have much larger order-to-trade ratios). We'll roll this out for CME first, followed by equities and ICE, and then OPRA.
Zach Banks10