Upcoming changes to IFEU and NDEX data normalization

We're improving our normalization for spreads and strategies by rolling out multi-leg definitions to ICE Europe Commodities (IFEU) and ICE Endex (NDEX). This has been a long-requested feature and is particularly important for ICE, where strategies are often more popular than outrights.

This normalization will be applied retroactively to the full historical datasets, in addition to live data, ensuring consistency across all time periods. There will be a month-long rollout starting September 17, where the current normalization will continue to be available alongside a public testing environment with the new normalization.

Each hedge and strategy leg is normalized into its own definition record, so for example, a strategy with three legs will have three definition records. The primary definition fields will be the same across the three records, while the leg_ fields will have data about the particular leg. This allows for interpreting the components of a strategy without parsing the raw_symbol, which often doesn't include enough information to know the legs.

Take BRN 25 30964924 for example. In the current normalization, it looks like

ts_recv                        instrument_class           expiration  strike_price  underlying_id
2025-07-20T23:26:35.918213534Z                T 2025-07-28T00:00:00Z           NaN        5884700

This doesn't tell us much other than it's an option spread expiring on July 28, 2025. If we look up strategy code 25 from the symbol, we can see it's a put condor, but we still don't know the instruments or strikes of the legs.

With the new normalization, there's a separate record for each leg, so you can tell it's a put strategy with 4 legs of the same expiration across 4 different strikes.

ts_recv                         instrument_class            expiration underlying_id leg_index  leg_count  leg_side  leg_instrument_class  leg_raw_symbol
2025-07-20T23:26:35.918213534Z  T                 2025-07-28T00:00:00Z       5884700         0          4         B                     P  BRN FMU0025_OMPA0000062002072825
2025-07-20T23:26:35.918213534Z  T                 2025-07-28T00:00:00Z       5884700         1          4         A                     P  BRN FMU0025_OMPA0000061002072825
2025-07-20T23:26:35.918213534Z  T                 2025-07-28T00:00:00Z       5884700         2          4         A                     P  BRN FMU0025_OMPA0000060002072825
2025-07-20T23:26:35.918213534Z  T                 2025-07-28T00:00:00Z       5884700         3          4         B                     P  BRN FMU0025_OMPA0000059002072825

Spot instruments are now normalized. In addition to futures and options, ICE Endex also features energy and power spot markets. These instruments will now be included in all schemas.

Market types are how ICE groups its products. The previously unnormalized field will now be normalized to market_segment_id.

Settlement type indicates financially vs. physically settled for futures, and options style indicates European vs. American exercise style for options. These fields will be normalized into the cfi field.

The md_security_trading_status field was removed from the definitions schema because it reflects trading status. It will now be normalized as a status schema record.

For the first time, we'll provide a public user testing environment for both historical and live data to give customers time to try out the new normalization and update their code for it. The preview environment follows the same billing rates and plan coverage as the production environment. To access the preview environments, use these gateways:

import databento as db

# Historical
client = db.Historical(gateway="hist-preview.databento.com")
# make API calls as normal

# Live
# NOTE: replace ndex-impact with ifeu-impact for ICE Europe Commodities
client = db.Live(gateway="ndex-impact.preview.lsg.databento.com", port=13_000)
# subscribe and replay as normal

The timeline of the rollout is as follows:

• 2025-09-17: Data with the new normalization is available in the preview environment
• 2025-10-21: Data with the new normalization is available in production from the live API. End of the live preview environment.
• 2025-10-23: Data with the new normalization is available in production from the historical API. End of the historical preview environment.

We strongly recommend validating your integration via the preview environments before the cutoff on October 21 and 23. These improvements provide clearer strategy component visibility and more consistent data structures across all ICE markets.