Source: https://databento.com/docs/datasets/equs-summary



# Databento US Equities Summary

**Dataset ID**: [EQUS.SUMMARY]($PLATFORM_HOSTNAME/catalog/us-equities#EQUS.SUMMARY)

Nasdaq disseminates consolidated volume and end-of-day statistics via their Nasdaq NLS+ feed.
Databento receives these over UDP multicast in our NY4 data center.

PDF specifications are available on Nasdaq's website for the [NLS+](https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NLSPlus-cloud.pdf) feed.

### Symbol convention

Raw symbols in this dataset use the **Nasdaq** convention (e.g. `BRK.B`, `AAC+`); in this dataset, `raw_symbol` and the `nasdaq` stype are equivalent.
See [CMS vs. Nasdaq symbology](https://databento.com/docs/conventions/symbology.md#raw-symbol) for the per-dataset convention map.

### Schemas

Only the `ohlcv-1d`, `statistics`, and `definition` schemas are available.

Databento normalizes the consolidated volume provided by the Nasdaq NLS+ feed on every trade into the `statistics` schema.
This volume is consolidated across all US exchanges.

Databento normalizes the end-of-day summary provided by the Nasdaq NLS+ feed into the `ohlcv-1d` schema.

Databento normalizes *Stock Directory* messages into the `definition` schema.

### Definition normalization

Definition records are sourced from NLS+ *Stock Directory* messages.

| Databento Field | NLS+ Field | Description |
| `exchange` | Market Category | Normalized to the MIC code of the listing venue. All Nasdaq-listed instruments will normalize to `XNAS`. |
| `security_type` | Issue Classification | Identifies the security class for the issue as assigned by Nasdaq. A list of the different values and their meanings can be found in Appendix E [here](https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NLSPlusSpecification3.0.pdf). |
| `secsubtype` | Issue Sub-Type | Identifies the security sub-type for the issue as assigned by Nasdaq. A list of the different values and their meanings can be found in Appendix F [here](https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NLSPlusSpecification3.0.pdf). |

### Timestamps

Nasdaq NLS+ messages received by Databento have at most one timestamp, which has nanosecond precision.
As with all of our datasets, we also collect a `ts_recv` timestamp when the packet was received by our capture server.

The extra field `ts_in_delta` does not convey any additional information for this dataset, and is equivalent to `ts_recv - ts_event`.

| Databento Field | TotalView Field | Description |
| `ts_recv` | N/A | The capture-server-received timestamp. |
| `ts_event` | Timestamp | The matching-engine-received timestamp. |

More details about our timestamps are available in our [timestamping guide](https://databento.com/docs/architecture/timestamping-guide.md).

### End-of-day Summary

Nasdaq NLS+ disseminates an end-of-day summary via their API at three different times:

1. Once at approximately 16:15 ET
2. Once at approximately 17:00 ET
3. Once at approximately 20:15 ET

Each of those summaries reflects the summary at the publishing time.

Databento only provides the last summary (from 20:15 ET) on the `ohlcv-1d` schema, which includes the total post-market volume, published as a single OHLCV-1d message per date.
This can lead to discrepancies when comparing against other data sources that use the other earlier summaries.

The first two preliminary summaries are disseminated by Databento under the `statistics` schema.
The `stat_flags` field is set to 1 for the first summary and 2 for the second summary.

### Flags normalization

The `F_PUBLISHER_SPECIFIC` flag provides no additional meaning in this dataset and can be safely ignored.