Issues tracker

EPRL.DOM data for Feburary, up to and including 2025-02-19 is in a degraded state. This data will be regenerated to fix the issue as soon as possible.

We've identified an issue where batch jobs submitted after 2025-02-16 for ALL_SYMBOLS can return fewer rows than intended. This issue does not affect requests made with the timeseries.get_range endpoint. All symbols enumerated in the symbology.json file are complete, the affected symbols are missing from this symbology. Using the timeseries.get_range endpoint for ALL_SYMBOLS requests will circumvent this issue. A list of missing symbols can be obtained by using timeseries.get_range to request ALL_SYMBOLS in the Definition schema and comparing that to the symbol's contained in a batch job's symbology.json.

Statistics after 2015-11-20 appears to always be missing ts_ref. This is tracked internally as D-3941.

During winter months, when Eastern Time is UTC-4, the last hour of Nasdaq extended trading session (7 to 8pm ET) extends into the following UTC day. This is assigned D-2127 internally.

Instrument definitions have misaligned or incorrect values for many (about 1%) of instruments from 2012-02-05 to 2012-02-10. This is an artifact of incomplete data from our backfill source (CME DataMine)—we had to infer and reconstruct the fields as best as we could from the following week's data.

Legacy MDP 2 data is empty on 2010-09-13, 2010-11-17, 2012-07-19, and 2017-03-13. These were regular trading days and should have data. This is tracked internally as D-3994

The GLBX.MDP3 data from 2012-02-05 to 2012-02-11 is displaying prices utilizing the wrong display factors. This leads to prices being off by a factor varying based on the instrument group.

CME data prior to May 2017 is missing normalization of SettlPriceType to the stat_flags field. This is tracked internally as D-3940.

Currently our historical data discards Saturday test data on CME, however our live data gateways expose the test data because it’s useful for Databento’s own internal monitoring to ensure that our live gateways are running properly. We plan to discard this test data in live as well to ensure point-in-time behavior. We’ll likely have to hide test data from customers. This is assigned D-2036 internally and will likely only be addressed in Q3.

Currently, the InstrumentDefMsg provided by our definition schema does not contain the underlying leg information. Adding this is on our roadmap here. This is assigned internal ticket D-2032.

We currently leave out MDOrderPriority from our normalized MBO messages, due to 2 reasons: This behavior is CME-specific. Most other venues adopt ITCH-based behavior, where ordering is based on timestamp instead. If we supported MDOrderPriority, it would bloat the data for all of the non-CME venues. ts_event serves the same purpose as MDOrderPriority for all instruments except for interest rate options and instruments where there's a LMM. We confirmed this with CME GCC and also from practical experience of comparing simulation against live order matching. We actually recommend most users to infer MDOrderPriority from ts_event since it makes their order book implementation more reusable for other venues. Two proposed solutions were considered: Exposing raw message payloads and PCAPs. 'Supplementing' our normalized MBO data with venue-specific fields. We consider approach 2 to be inferior: If we tried incorporating other fields, we'd be replicating the venue's original structure in DBN with unnecessary indirection and copies and losing the benefit of normalization — so we might as well expose the raw message payload. For many venues, the raw data has nested message tree structures, and if we replicated it, either in Databento Binary Encoding or an unstructured encoding like JSON, we'd lose a lot of the benefits of our zero-copy binary encoding. The only limitation of approach 1 is that it's bandwidth-intensive, obviously as most venues require you to receive their raw multicast data on their extranet over a physical cross-connect. At this time, we reject approach 2 and are working towards approach 1. This is tracked on our roadmap here. This is tracked internally as D-2130.

We're investigating OHLCV-1s bars being sent late from the Live API in situations where no trades occur in after the bar has closed. This results in bars being published about a second late in such cases. Internal tracking ID: D-4457

Our public latency dashboard is up and in experimental status. It appears that there's still a bug affecting the ingestion and clock sync on the client side which causes them to be artificially placed at 2 ns in the end-to-end latency distribution.

We have identified a symbology issue with BRN futures and options which affects the following calendar dates: 2024-01-01, 2024-01-02. This issue does not affect queries for ALL_SYMBOLS, but requests for specific options or the parent symbologies BRN.FUT and BRN.OPT may fail. Addressing this issue requires regenerating the data for the IFEU.IMPACT dataset. We will resolve this issue once this is completed. This is tracked internally as D-4010.

Tracked internally as D-3847