Product roadmap

B3: Brazil Equities and Futures MBO data. Keywords for search purposes: Brasil Bolsa Balcão S.A., Brazilian Mercantile and Futures Exchange (BM&F), BMF, Bovespa (São Paulo Stock Exchange), Cetip (Central of Custody and Financial Settlement of Securities for the organized OTC market).

Please consider adding B3 (Brazil) equities and futures market data, both historical and real-time. TooQ Technology (https://tooqtechnology.com/) could be a strong upstream provider. Having B3 fully consolidated within the Databento API (same schema, symbology, and delivery model as other venues) would be extremely valuable for cross-market research, backtesting, and live trading, avoiding the need to stitch multiple vendors.

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.

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

We've received some requests recently for Binance data. Please upvote if this is of interest. We're still determining whether this is worth the risk.

Currently, multi-leg products (spreads, strategies, combos) on CME/ICE are hard to use because our instrument definitions do not provide metadata about each underlying leg. The user has to infer the legs from the symbol. This is a form of lossy normalization, since CME/ICE does provide this in their security definitions in a repeating group, but our fixed instrument definition schemas are forced to discard this—they only provide the the instrument_id of the first underlying instrument through underlying_id. In the meantime, our recommendation to users is to either infer this from the symbol OR download the raw security/instrument definitions from the exchange (e.g. CME's is free on their FTP) OR get a pcap subscription from us. If you need historical secdefs copied from CME (since their FTP site only gives 1 day history), we can provide a courtesy backfill of these for a fixed cost.

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.

Support AWS S3 as an additional method of delivery, aside from HTTP and FTP.

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.

Currently, the cancel action type C is used for both actual order cancellations and trade-related deletions. This makes it hard to construct features based on order cancellations as they need to keep history of trades or fills and ignore cancellations that come after. To solve this, we'll be introducing a delete action type D to delete orders after a trade.

Currently, we only support the standard Python versions and not the free-threaded interpreters. Supporting this will require some work in databento-dbn and perhaps dependencies of the databento package.

Currently any unresolved symbol results in the session ending and the connection being closed. The live API should have non-fatal errors for issues like an unsupported schema and symbols that fail to resolve. This is tracked internally as D-579

The current coverage for EEX (XEEE.EOBI datataset) does not include settlement price and open interest for EEX Japanese power futures.