MEMX MEMOIR Depth
Dataset ID: MEMX.MEMOIR
MEMX disseminates full depth-of-book data for their exchange through their MEMOIR Depth Feed, which Databento receives over UDP multicast in our NY4 data center.
The MEMX Depth Feed Client Specifications are available from MEMX's website.
The Databento team is currently working on this article.
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
MEMX messages received by Databento 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. MEMX does not include an exchange send timestamp, thus ts_in_delta field is set to 0 for all messages.
| Databento Field | MEMX Field | Description |
|---|---|---|
ts_recv | N/A | The capture-server-received timestamp. |
ts_event | Timestamp | The matching-engine-received timestamp. |
ts_in_delta | N/A | Set to 0. |
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.