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).

Related to this pull request, this idea is to support streaming binary DBN data with some decoding of control messages inside the live client. Alternatives to this in Python are to create a class that implements the DatabentoLiveProtocol overriding the _process_dbn method to partially decode control records and pass the remaining binary data downstream.

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

Futures and options on futures from LME. This will be captured at LON2 colo and include both L2 (for implied pricing) and L3 feed (order-by-order). Lower granularities like OHLC, OI, settlement volume, etc. will be included as well

Add trade reporting modifier flags, e.g. those found in CTS sale conditions here: https://www.nyse.com/publicdocs/ctaplan/notifications/trader-update/cts_output_spec.pdf Similar to: https://roadmap.databento.com/b/n0o5prm6/feature-ideas/include-opra-trade-conditions

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

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.

Hi, i need to know how I can get the Imbalance live data

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.

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.

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.