Schemas and conventions
A schema is a data record format represented as a collection of different data fields. Our datasets support multiple schemas, such as order book, trades, bar aggregates, and so on. You can get a dictionary describing the fields of each schema from our List of market data schemas.
You can get a list of all supported schemas for any given dataset using the Historical client's list_schemas method. The same information can also be found on the dataset details pages on the user portal.
The following table provides details about the data types and conventions used for various fields that you will commonly encounter in the data.
| Name | Field | Description |
|---|---|---|
| Dataset | dataset | A unique string name assigned to each dataset by Databento. Full list of datasets can be found from the metadata. |
| Publisher ID | publisher_id | A unique 16-bit unsigned integer assigned to each publisher by Databento. Full list of publisher IDs can be found from the metadata. |
| Instrument ID | instrument_id | A unique 32-bit unsigned integer assigned to each instrument by the venue. Information about instrument IDs for any given dataset can be found in the symbology. |
| Order ID | order_id | A unique 64-bit unsigned integer assigned to each order by the venue. |
| Timestamp (event) | ts_event | The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch. |
| Timestamp (receive) | ts_recv | The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch. |
| Timestamp delta (in) | ts_in_delta | The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv. See timestamping guide. |
| Timestamp out | ts_out | The Databento gateway-sending timestamp expressed as the number of nanoseconds since the UNIX epoch. See timestamping guide. |
| Price | price | The price expressed as signed integer where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. |
| Book side | side | The side that initiates the event. Can be Ask for a sell order (or sell aggressor in a trade), Bid for a buy order (or buy aggressor in a trade), or None where no side is specified by the original source. |
| Size | size | The order quantity. |
| Flag | flag | A bit field indicating event end, message characteristics, and data quality. |
| Action | action | The event type or order book operation. Can be Add, Cancel, Modify, cleaR book, Trade, Fill, or None. |
| Sequence number | sequence | The original message sequence number from the venue. |