Blue Ocean ATS MEMOIR Depth
Dataset ID: OCEA.MEMOIR
Blue Ocean ATS disseminates full depth-of-book data for its venue through its Blue Ocean ATS MEMOIR Depth feed, which Databento receives over UDP multicast in our NY4 data center.
This dataset captures Blue Ocean ATS trading activity in US equities during the Blue Ocean Session, which runs from 8:00 PM to 4:00 AM ET, Sunday through Thursday.
Symbol convention
Raw symbols in this dataset use the CMS convention (e.g. BRK B, AAC WS); the source feed splits root and suffix across the Symbol and SymbolSfx fields, which Databento joins with a space (see Definition normalization). See CMS vs. Nasdaq symbology for the per-dataset convention map.
Timestamps
Blue Ocean messages received by Databento include one exchange 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. Blue Ocean does not include an exchange send timestamp, so ts_in_delta is set to 0 for normalized MBO and trades records.
| Databento Field | MEMOIR 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 because Blue Ocean does not include an exchange send timestamp. |
More details about our timestamps are available in our timestamping guide.
MBO normalization
There are six MEMOIR message types that directly affect displayed book state or trade prints. Databento normalizes these messages to MBO records as follows:
| Databento Message(s) | MEMOIR Message | Description |
|---|---|---|
| Add | Order Added | Adds a new displayed order with order_id, side, price, and size. |
| Cancel | Order Deleted | Removes a displayed order. size is the displayed quantity removed from the book. |
| Cancel | Order Reduced | Reduces a displayed order without changing time priority. size is the quantity removed from the order. |
| Trade, Fill, Cancel | Order Executed | Executes a displayed order and updates displayed quantity by the executed amount. |
| Trade | Trade | Non-displayed execution. Does not modify displayed book state. |
| CleaR | Clear Book | Clears all displayed orders for the specified instrument. |
For Order Executed messages, the aggressing order is not included in MEMOIR, so normalized Trade records have order_id set to 0. Normalized records from a single native message share the same sequence. For Order Executed and Trade, Databento also publishes records in the trades schema.
Trade side normalization
For trade-derived records across the MBO, MBP-1, MBP-10, and trades schemas, the side field indicates the side that initiates the event.
For Order Executed, Databento sets side to the aggressive order side, which is the opposite of the resting order side in the book.
For Trade, the feed does not provide enough information to infer the aggressor, so the side is None.
Messages currently not normalized
Databento does not emit MBO, trades, status, or definition output from these native message types:
- Broken Trade
- Corrected Trade
Status normalization
Status records are normalized from three MEMOIR messages:
- Security Trading Status
- Trading Session Status
- Reg SHO Restriction
Security Trading Status
| Databento Action | Is trading | Is quoting | MEMOIR SecurityTradingStatus |
|---|---|---|---|
8 (Halt) | No | No | H (Halted) |
9 (Pause) | No | No | P (Paused) |
3 (Quoting) | No | Yes | Q (Quoting) |
7 (Trading) | Yes | Yes | T (Trading) |
MEMOIR SecurityTradingStatusReason is normalized to status reason:
| Databento Reason | MEMOIR SecurityTradingStatusReason |
|---|---|
| None | X (None) |
| Regulatory | R (Regulatory) |
| Administrative | A (Administrative) |
Trading Session Status
| Databento Action | Is trading | Is quoting | MEMOIR TradingSession |
|---|---|---|---|
1 (Pre-open) | No | Yes | 1 (Opening) |
7 (Trading) | Yes | Yes | 2 (Trading) |
13 (Post-close) | Yes | Yes | 3 (PostTrading) |
12 (Close) | No | No | 4 (Closed) |
Reg SHO Restriction
RegSHORestriction is normalized to a status record for a short sell restriction change and updates is_short_sell_restricted from the source ShortSaleRestriction flag.
Status publication is gated until both system-level state (Trading Session Status) and per-instrument state (Security Trading Status) are known.
Definition normalization
Definition records are sourced from Instrument Directory messages.
| Databento Field | MEMOIR Field | Description |
|---|---|---|
raw_instrument_id | SecurityID | Native session-scoped identifier. |
raw_symbol | Symbol + SymbolSfx | CMS root and suffix combined with a space into Databento raw symbol. |
min_lot_size_round_lot | RoundLot | Round lot size. |
min_price_increment_amount | MPV | Minimum price variation converted to Databento's 1e-9 price units. |
If a security is updated intraday, the corresponding definition is republished with updated values. Databento also sets exchange to OCEA and match_algorithm to F (FIFO).
Flags normalization
The F_PUBLISHER_SPECIFIC flag provides no additional meaning in this dataset and can be safely ignored.