NYSE Arca Integrated
Dataset ID: ARCX.PILLAR
NYSE Arca disseminates full depth-of-book data for their exchange through their Integrated Feed, which Databento receives over UDP multicast in our NY4 data center.
The Integrated Feed Client Specification is available as a PDF from NYSE's website.
Symbol convention
Raw symbols in this dataset use the CMS convention (e.g. BRK B, AAC WS). See CMS vs. Nasdaq symbology for the per-dataset convention map.
Timestamps
NYSE Arca messages received by Databento will generally include two timestamps with nanosecond precision. As with all of our datasets, we also collect a ts_recv timestamp when the packet was received by our capture server.
| Databento Field | Pillar Field | Description |
|---|---|---|
ts_recv | N/A | The capture-server-received timestamp. |
ts_event | SourceTime | The matching-engine-received timestamp. |
ts_in_delta | SendTime (Common) | The matching-engine-sending timestamp. |
More details about our timestamps are available in our timestamping guide.
Statistics normalization
NYSE Arca provides information about the execution price and shares matched on completion of a crossing auction in their Cross Trade message. Databento normalizes each message into a record in the statistics schema.
Statistics are categorized by the following auction types:
- Opening price: Core Opening auction
- Closing price: Closing auction
- Uncrossing price: Early Opening and Halt/Re-opening auction
Imbalance normalization
NYSE Arca provides information about opening and closing cross imbalances in their Imbalance message. Databento normalizes each message into a record in the imbalance schema.
| Databento Field | Pillar Field | Description |
|---|---|---|
ref_price | ReferencePrice | The price at which imbalance shares are being calculated. |
auction_time | AuctionTime | The projected auction time, with second precision. |
cont_book_clr_price | ContinuousBookClearingPrice | Hypothetical auction-clearing price for cross and continuous orders. |
auct_interest_clr_price | AuctionInterestClearingPrice | The price at which all eligible auction-only interest would trade, subject to auction collars. |
ind_match_price | IndicativeMatchPrice | The price at which the highest number of shares would trade, subject to auction collars. It includes the non-displayed quantity of Reserve Orders. |
upper_collar | UpperCollar | Upper auction collar. |
lower_collar | LowerCollar | Lower auction collar. |
paired_qty | PairedQty | The number of shares paired off at the ref_price. Before 2025-11-13, the number of shares paired off at the ind_match_price. |
total_imbalance_qty | TotalImbalanceQty | The total imbalance quantity at the ref_price. Before 2025-11-13, the total imbalance quantity at the ind_match_price. |
market_imbalance_qty | MarketImbalanceQty | The total market order imbalance quantity at the ref_price. Before 2025-11-13, the total market order imbalance quantity at the ind_match_price. |
auction_type | AuctionType | The type of cross: O: Early opening, M: Core opening, H: Halt resume, C: Closing. |
side | ImbalanceSide | The market side of the order imbalance: Bid (buy) imbalance, Ask (sell) imbalance, No imbalance. |
auction_status | AuctionStatus | 0: Will run as always for Open and Close. 1: Will run, interest exists inside or at the collars or is fully paired off. 2: Will not run because there is an imbalance through the collars. 3: Will not run, will transition to the Closing Auction instead. |
freeze_status | FreezeStatus | 0: Imbalance freeze not in effect. 1: Imbalance freeze is in effect. |
num_extensions | NumExtensions | Number of times the halt period has been extended. |
significant_imbalance | SignificantImbalance | Indicates whether the current imbalance is significant. Y when significant, ' ' (space) otherwise. ~ prior to March 2019 when the Significant Imbalance field was added to the protocol. |
Auctions
During auction periods, an imbalance message will be published every 1 second, if changed from the previous second. At the conclusion of an auction, a statistics record will be published.
NYSE Arca conducts three scheduled auctions per trading day at the following times:
- Early Open: 2:30 to 4:00 ET for all UTP securities
- Core Open: 8:00 to 9:30 ET for only NYSE Arca listed securities
- Closing: 15:00 to 16:00 ET for all UTP securities
Auctions can also occur as the result of a trading halt. Imbalance data will only be published for NYSE Arca listed securities during these trading halts.
See this NYSE Pillar documentation for more information on auctions.
Flags normalization
The F_PUBLISHER_SPECIFIC flag provides no additional meaning in this dataset and can be safely ignored.