Source: https://databento.com/docs/datasets/xnas-itch # Nasdaq TotalView-ITCH **Dataset ID**: [XNAS.ITCH]($PLATFORM_HOSTNAME/catalog/us-equities#XNAS.ITCH) Nasdaq disseminates full depth-of-book data for their exchange through their TotalView-ITCH feed over the MoldUDP64 protocol, which Databento receives over UDP multicast in our NY4 data center. PDF specifications are available on Nasdaq's website for [Nasdaq TotalView-ITCH](http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf) and [MoldUDP64](http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/moldudp64.pdf). ### Symbol convention Raw symbols in this dataset use the **Nasdaq** convention (e.g. `BRK.B`, `AAC+`). See [CMS vs. Nasdaq symbology](https://databento.com/docs/conventions/symbology.md#raw-symbol) for the per-dataset convention map. ### Timestamps Nasdaq TotalView-ITCH 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). ### MBO normalization **Order lifecycle messages** There are seven message types in TotalView that change the state of the order book. Databento normalizes these messages to MBO records as follows: - *Add Order - No MPID Attribution*: **A**dd - *Add Order with MPID Attribution*: **A**dd, but the attribution field is not included - *Order Executed*: **T**rade, **F**ill, then **C**ancel - *Order Executed with Price*: **T**rade, **F**ill, then **C**ancel, but the initial **T**rade is omitted if the message is marked as non-printable - *Order Cancel*: **C**ancel, with the `quantity` indicating the number of shares to remove from the display size - *Order Delete*: **C**ancel, with the `quantity` indicating the current display size of the order - *Order Replace*: **C**ancel with the previous `order_id`, followed by **A**dd with the new `order_id` All **T**rade records will have `order_id` set to `0`, because Nasdaq does not provide information about the aggressor's order. Normalized records from the same TotalView message will have the same `sequence`. **Trade messages** TotalView also has two messages for providing execution details for match events against non-displayed orders or cross events. Databento normalizes each *Trade (Non-Cross)* message into a single MBO **T**rade record with side **N**one. *Cross Trade* messages are also normalized into MBO **T**rade records with side **N**one when shares are matched on the cross event. Nasdaq will always send a *Cross Trade* message following an opening, closing, or EMC cross event for an instrument. If no shares are matched during a cross event, the *Cross Trade* message is omitted from MBO and represented only in the [statistics schema](https://databento.com/docs/schemas/statistics.md). ### Statistics normalization TotalView provides information about the execution price and shares matched on completion of a cross event in their *Cross Trade* message. Databento normalizes each message into a record in the [statistics schema](https://databento.com/docs/schemas/statistics.md). Statistics are categorized by the following cross events: - Opening price: Nasdaq Opening Cross - Closing price: Nasdaq Closing Cross - Uncrossing price: EMC Cross (Halt/IPO) Nasdaq will always send a *Cross Trade* message following an opening, closing, or EMC cross event for an instrument. If no shares are matched during a cross event, `quantity` will be `0` and `price` will be `UNDEF_PRICE` (`0x7fffffffffffffff`, `9223372036854775808`). ### Imbalance normalization TotalView provides information about cross imbalances in their *Net Order Imbalance Indicator (NOII)* message. Databento normalizes each message into a record in the [imbalance schema](https://databento.com/docs/schemas/imbalance.md). | Databento Field | TotalView Field | Description | | `paired_qty` | Paired Shares | The number of shares that are eligible to match at the `ref_price`. | | `total_imbalance_qty` | Imbalance Shares | The number of shares not paired at the `ref_price`. | | `side` | Imbalance Direction | The market side of the order imbalance: **B**id (buy) imbalance, **A**sk (sell) imbalance, **N**o imbalance. | | `auct_interest_clr_price` | Far Price | Hypothetical auction-clearing price for cross orders only. | | `cont_book_clr_price` | Near Price | Hypothetical auction-clearing price for cross and continuous orders. | | `ref_price` | Current Reference Price | The price at which imbalance shares are being calculated. | | `auction_type` | Cross Type | The type of cross: **O**pening, **C**losing, un-**H**alt or IPO, **A**: Extended Trading Close. | | `significant_imbalance` | Price Variation Indicator | Indicates the deviation of `cont_book_clr_price` to the `ref_price`. Refer to the Nasdaq TotalView specification for values. | #### **Opening/Closing Cross** Nasdaq begins disseminating imbalance data at 9:25 ET for the Opening Cross and 15:50 ET for the Closing Cross. Between 9:25 and 9:28, and 15:50 and 15:55, imbalance data is sent every 10 seconds. The `auct_interest_clr_price` and `cont_book_clr_price` fields will not be populated during these times. After 9:28 and 15:55, imbalance data is sent every 1 second and will include `auct_interest_clr_price` and `cont_book_clr_price` data. At the conclusion of the Opening Cross at 9:30 and the Closing Cross at 16:00, a [statistics record](https://databento.com/docs/datasets/xnas-itch.md#statistics-normalization) will be published with the official opening/closing price. > **Info** > > For more information on the Nasdaq Opening and Closing Cross, see this [Nasdaq FAQ](https://nasdaqtrader.com/content/productsservices/trading/crosses/openclose_faqs.pdf). ### Definition normalization Definition records are sourced from Stock Directory messages. | Databento Field | TotalView 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 D [here](https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.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 E [here](https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf). | ### Flags normalization The `F_PUBLISHER_SPECIFIC` flag provides no additional meaning in this dataset and can be safely ignored.