Cboe BYX Depth
Dataset ID: BATY.PITCH
Cboe BYX disseminates full depth-of-book data for their exchange through their Pitch Feed, which Databento receives over UDP multicast in our NY4 data center.
The Multicast Depth of Book (Pitch) Specification is available as a PDF from Cboe's website.
The Databento team is currently working on this article.
Symbol convention
Raw symbols in this dataset use the Nasdaq convention (e.g. BRK.B, AAC+), even though the source venue is Cboe rather than Nasdaq. See CMS vs. Nasdaq symbology for the per-dataset convention map.
Timestamps
Cboe messages received by Databento will generally include one timestamp 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 | Pitch Field | Description |
|---|---|---|
ts_recv | N/A | The capture-server-received timestamp. |
ts_event | Time + TimeOffset | The matching-engine-received timestamp. |
ts_in_delta | None | The difference between ts_recv and ts_event. Redundant and can be safely ignored. |
More details about our timestamps are available in our timestamping guide.
Statistics
Databento provides Opening Price and Closing Price statistics, normalized from the Auction Summary message. These statistics have the auction uncrossing price and quantity for the respective event.
Imbalance normalization
Cboe BYX 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 | Pitch Field | Description |
|---|---|---|
ref_price | ReferencePrice | Collared price at which the periodic auction would trade. |
paired_qty | min(BuyShares, SellShares) | The number of shares that are eligible to match at the ref_price. |
total_imbalance_qty | abs(SellShares - BuyShares) | The number of shares not paired at the ref_price. |
auction_type | AuctionType | P: Periodic auction. |
side | BuyShares, SellShares | The market side of the order imbalance: Bid (buy) imbalance, Ask (sell) imbalance, No imbalance. |
Flags normalization
The F_PUBLISHER_SPECIFIC flag provides no additional meaning in this dataset and can be safely ignored.