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  • Equities Market Data Schema
  • Supported Asset
  • Data Schema
  • Receiving Orders
  1. Asset Classes
  2. Equities

Data Schemas & Execution Formats

Equities Market Data Schema

Supported Asset

1. Equities (General Category for Stock Market Products)

Equities market data covers different stock exchanges and venues, including:

  • U.S. Stocks: NYSE, NASDAQ, AMEX

2. Market Data

This dataset contains two primary types of market data:

  • MBO (Market By Order): Provides detailed order-level information, tracking each individual order's lifecycle.

  • MBP1 (Market By Price 1): Represents the best bid and ask prices along with their respective quantities at a given moment.

Data Schema

Market by Order (MBO)

Description

Market by Order (MBO) provides every order book event at all price levels, allowing users to track order queue position and market depth at the highest level of granularity.

MBO data includes:

  • Order adds, cancels, and modifications

  • Trade executions

  • Book clear events

  • Special order events

This is commonly referred to as Level 3 (L3) data.

Fields (mbo)

Field

Type

Description

publisher_id

uint16_t

Publisher ID assigned by Databento, denoting dataset and venue.

instrument_id

uint32_t

Numeric instrument ID.

ts_event

uint64_t

Timestamp when the event was received by the matching engine (nanoseconds since UNIX epoch).

order_id

uint64_t

Order ID assigned by the venue.

price

int64_t

Order price (1 unit corresponds to 1e-9, or 0.000000001).

size

uint32_t

Order quantity.

flags

uint8_t

Bit field indicating event end, message characteristics, and data quality.

channel_id

uint8_t

Channel ID assigned by Databento, incrementing from zero.

action

char

Order event action: Add, Cancel, Modify, R (Clear Book), Trade, Fill, None.

side

char

Order side: Ask (sell order), Bid (buy order), None (not specified).

ts_recv

uint64_t

Timestamp when the event was captured by the server.

ts_in_delta

int32_t

Time delta before ts_recv (nanoseconds).

sequence

uint32_t

Message sequence number assigned at the venue.

Market by Price (MBP-1)

Description

Market by Price 1 (MBP-1) provides order book updates at the top price level, commonly referred to as Level 1 (L1) data.

MBP-1 data includes:

  • Best bid and ask price updates

  • Order book depth changes

  • Executed trades at the top level

Fields (mbp-1)

Field

Type

Description

publisher_id

uint16_t

Publisher ID assigned by Databento, denoting dataset and venue.

instrument_id

uint32_t

Numeric instrument ID.

ts_event

uint64_t

Timestamp when the event was received by the matching engine.

price

int64_t

Order price (1 unit corresponds to 1e-9, or 0.000000001).

size

uint32_t

Order quantity.

action

char

Order event action: Add, Cancel, Modify, R (Clear Book), Trade, Fill.

side

char

Trade aggressor side: Ask (sell), Bid (buy), None (not a trade).

flags

uint8_t

Bit field indicating event end, message characteristics, and data quality.

depth

uint8_t

Book level where update occurred.

ts_recv

uint64_t

Timestamp when the event was captured by the server.

ts_in_delta

int32_t

Time delta before ts_recv (nanoseconds).

sequence

uint32_t

Message sequence number assigned at the venue.

bid_px_00

int64_t

Best bid price.

ask_px_00

int64_t

Best ask price.

bid_sz_00

uint32_t

Bid size at the top level.

ask_sz_00

uint32_t

Ask size at the top level.

bid_ct_00

uint32_t

Number of bid orders at the top level.

ask_ct_00

uint32_t

Number of ask orders at the top level.

Receiving Orders

Market data updates for equities are received and processed in real-time, ensuring accurate and up-to-date information for analysis and trading strategies.

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Last updated 2 months ago