Microsoft Corporation

Equities

Since 2023-03-28 UTC

Databento

Chart

5D
1M
3M
6M
1Y

Sample data

Schema

MBP-1
TBBO
Trades
BBO-1s
OHLCV-1s
Definition

ts_recv

The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

flags

A bit field indicating event end, message characteristics, and data quality.

ts_event

The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

ts_in_delta

The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv.

rtype

The record type. Each schema corresponds with a single rtype value.

sequence

The message sequence number assigned at the venue.

publisher_id

The publisher ID assigned by Databento, which denotes dataset and venue.

bid_px_00

The bid price at the top level.

instrument_id

The numeric instrument ID.

ask_px_00

The ask price at the top level.

action

The event action. Can be Add, Cancel, Modify, cleaR book, or Trade.

bid_sz_00

The bid size at the top level.

side

The side that initiates the event. Can be Ask for the sell aggressor in a trade, Bid for the buy aggressor in a trade, or None where no side is specified by the original trade or the record was not a trade.

ask_sz_00

The ask size at the top level.

depth

The book level where the update event occurred.

bid_ct_00

The number of bid orders at the top level.

price

The order price expressed as a signed integer where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

ask_ct_00

The number of ask orders at the top level.

size

The order quantity.

symbol

The requested symbol for the instrument.

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FROM THIS DATASET
Publisher
Databento
Venue
Subset of US equities exchanges
Asset class
Equities
Region
North America
Breadth of coverage
12,936 products
Data category
Raw data
Date added
2023-03-28UTC
Origin
Directly captured at Equinix NY4 (Secaucus, NJ) with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP.
Schemas
MBP-1, TBBO, Trades, BBO-1s, BBO-1m, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition
Encodings
DBN, JSON, CSV