Schemas and Data Format

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.