Product roadmap

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).

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

Stocks and derivatives data from the Singapore Exchange (SGX)

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

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.

It would be great if Japan Exchange Group (Nikkei 225, etc) could be supported. CME Nikkei 225 volume is too low.

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)

Dividends, stock splits, mergers, ticker changes, adjusted EOD historical prices.

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.

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.

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. Many services offer BBO summaries at a fixed interval, such as 1 or 10 minutes. This would be similar to the ohlcv-1m schema, but include BBO information that is present in mbp-1 and tbbo instead of only containing trades. This would be a new schema (or set of schemas). What kind of information would you like to see in the MBP-1 summary message? Edit: Adding a few keywords here to facilitate search—subsampled BBO, subsampled MBP-1, MBP-1 snapshots.

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.

This feature tracks a potential backfill of our CME Globex back to Jan 2009. Note that there will be some limitations: Prior to May 2017, CME Globex used a legacy FIX/FAST format with at most 10 levels of depth, millisecond resolution timestamps, and no high-granularity match/send timestamps.We will source the data from CME directly, but they do not have pcaps going back to 2009. This means that we'll not have a separate ts_recv timestamp.We will need to consider how to handle the dataset naming, as "CME Globex MDP 3.0" will not be appropriate.

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