Product roadmap

Historical and live market news.

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). Keywords: Market calendar, trading holidays.

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.

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.

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, ...

The legacy live usage-based plans allowed users to access L2/L3 data. However L2/L3 were pulled from the Standard plan. One possibility to increase the value of the Standard plan is to offer limited access to L2/L3, perhaps gated by a quota on symbol subscriptions per account, etc.

Australian Stocks with ASX and CBOE trades

Real-time and historical FINRA TRACE data. Keywords: Real-time bond market transaction data, fixed income, asset-backed (ABS) and mortgage-backed securities (MBS), U.S. Treasury securities, U.S. Treasury notes, corporate bonds.

For our live data, Databento plans on supporting two transport layers ("Raw" TCP, WebSocket) and two data encodings (DBN, JSON). This idea is for supporting a gRPC API for consuming live data. This would require both a new transport layer (gRPC-flavored HTTP/2) and a new data encoding option (Protocol Buffers).

The Eurex dataset (XEUR.EOBI) has availability from 2025-03-10. This request is to backfill this dataset with more history. A source of this history has not been identified, we will update this ticket when/if it is accepted with details.

Please expose the following additional option data in the instrument definitions schema. This is essential for accurate backtesting. Trade cut-off and Settlement anchor times: These aren't quite the same as contract expiry. Given these are venue and contract specific, having these would help capture if it's AM or PM settled, while also providing the exact time a backtest should use to stop trading the contract, as well as allowing it to use the correct underlying price when simulating settlement; for example some options may use 4:00 PM ET close as the settlement anchor even if trading continues until 4:15 PM ET, while others stop trading on the prior day and use the official opening prices on expiration morning. There is already an open roadmap item for trading calendars: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/trading-calendar-information But this is specific to the instrument. There is already an open roadmap item for contract family tagging: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/tag-options-contracts-as-weekly-monday-tuesday-etc-monthly-eom-quarterly-in-instrument-defs But that by itself wouldn't provide exact trade cut-off and settlement anchor times. Exercise style: American vs European. This cannot be determined accurately/deterministically from symbology alone. Contract class: Ordinary listed vs FLEX. If FLEX messages are added to OPRA (as per https://roadmap.databento.com/b/n0o5prm6/feature-ideas/add-support-for-opra-flex-messages), then this would be useful to distinguish. I'm not sure where this fits best in the schema. security_type seems inappropriate, and instrument_class also seems inappropriate, since Call and Put already exist and these new attributes need to coexist alongside them. So perhaps this belongs either: a) in a new option-specific subtype/metadata section, or b) as direct fields in the instrument definition itself.

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.

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