Product roadmap

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.

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.

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

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, ...

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.

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

futures and futures options OHLC, OI and volume from the LME

Original request from Juan Linares: "Great product but please add dark mode." There are two separate parts to this: Dark mode for the portal and main website (databento.com, databento.com/portal) Dark mode for the docs We can consider this only after Q1 2025 since we're doing a major rebranding of our website which is expected to finish by early April 2025. The new colors will make it easier for us to implement a dark mode.

Currently there's no possible way to subscribe to all CME futures in a bundle or all CME options in a bundle, only the combination of both.

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

To extend support to browser-based applications.

Only regular trading hours are supported currently.

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

Trades in US equities that happen off-exchange are reported to one of three TRFs. NYSE provides information on trades reported to their TRF through their "NYSE Trades" feed. More information available here: https://www.nyse.com/markets/nyse/market-info

National Stock Exchange (NSE) and Bombay Stock Exchange (BSE) data.