Cboe EDGA Depth
Dataset ID: EDGA.PITCH
Cboe EDGA 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.
Flags normalization
The F_PUBLISHER_SPECIFIC flag provides no additional meaning in this dataset and can be safely ignored.