Product roadmap

Data for Eurex, including all schemas (MBO, MBP, ohlcv, etc.).

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

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.

From EEX CEF Core feed EEX EOBI feed. This will include order-by-order data as well as less granular formats, such daily settlements, definitions, etc.

Databento's feed is based on CME's MBO feed and we do not overlay implied depth from the MBP feed. This creates the appearance of less liquidity and wider spreads compared to many vendors that are only using the MBP feed. Overlaying MBO and MBP creates several complications; we think using the direct book is better for signal generation and execution, and prefer not overlay implied MBP over MBO to form a composite book. At this time, users who are sensitive to implied orders can impute the implied book themselves. That said, we may expose the implied book for users who find this useful and prefer to compare our data to another reference.

https://conda-forge.org/ https://anaconda.org/

Hi Databento team, I am a regular user of databento and the batch download feature. Could you consider adding the below features? 1# Currently there are options available to pick from - Last month, last 3 months, Last 6 months, Entire history. Could you add "Most recent day"? This should ideally help me get most recent (1) day worth of data for the data set being downloaded. 2# Recurring batch download - Once I do a batch download for a dataset, I hope to have a recurring option which makes available a file to download everyday (either via UI or API) Thanks in advance Madhavan

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)

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).

To extend support to browser-based applications.

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.

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.

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.

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.

This serves as a master list of all other snapshot-like features on our roadmap. The scope of this ticket is potentially very large and ambiguous so we've broken this down into smaller tickets that you can follow separately. (Historical only) https://roadmap.databento.com/b/n0o5prm6/feature-ideas/add-historical-endpoint-for-latest-snapshot-of-any-schema. This would allow a user to get the latest published value of any given schema, within the boundaries allowed by licensing/entitlements/historical embargo window. The main benefit of this is for creating ticker tape or latest quote features, e.g. on a web app, after we start exposing intraday data over the historical/HTTP API (https://roadmap.databento.com/roadmap/expose-intraday-and-current-trading-session-historical-data-over-historical-http-api-and-clients). Likely endpoint names for this would be either timeseries.get_last or timeseries.get_snapshot. (Historical only) https://roadmap.databento.com/b/n0o5prm6/feature-ideas/provide-snapshots-as-of-specified-time-in-historical-api. Likely endpoint names for this would be either timeseries.get_last or timeseries.get_snapshot.(Live only) https://roadmap.databento.com/roadmap/add-periodic-mbo-book-snapshots-to-live-api. This allows a user to get the last published value of any given schema at a specified time. The main benefit of this would be to allow customers to subsample the data on server side and reduce cost, though the benefit is diminished with feature 5 on this list. Note that this would allow a user to emulate (1) relatively well since a user could potentially just pass in their current clock time or some time slightly ahead of the clock time. However, their underlying implementations would be different and (1) and (2) would likely be released separately. Likely endpoint names for this would be either timeseries.get_last_asof or `timeseries. (Live only) https://roadmap.databento.com/b/n0o5prm6/feature-ideas/allow-live-api-clients-to-request-for-mbo-snapshot-recovery. This provides resilience to gaps or data errors originating from Databento side. It could also be used for recovery of book state caused by client-side issues or disconnection, but would be less quick than feature (4) on this list.(Both historical and live) https://roadmap.databento.com/roadmap/fixed-interval-mbp-1-summaries-eg-1-minute-bbo-or-subsampled-bbo. The purpose of this is more to provide customers a convenience over fetching or subscribing MBP-1 and subsampling and forward filling the MBP-1 data themselves, which could be very expensive given the size of MBP-1 data and how the customer has no idea how far to look back for the "last" MBP-1 update prior to the 1 second or 1 minute refresh interval. Some of these are in development, hence the status of this entire ticket, however you should check on each individual one in case the specific feature you're looking for is still in Considering state.