Source: https://databento.com/docs/datasets/xnys-pillar


# NYSE Integrated

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

NYSE disseminates full depth-of-book data for their exchange through their Integrated Feed, which Databento receives over UDP multicast in our NY4 data center.

The [Integrated Feed Client Specification](https://www.nyse.com/market-data/real-time/integrated-feed) is available as a PDF from NYSE's website.

### Symbol convention

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

### Timestamps

NYSE messages received by Databento will generally include two timestamps 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 | Pillar Field | Description |
| `ts_recv` | N/A | The capture-server-received timestamp. |
| `ts_event` | SourceTime | The matching-engine-received timestamp. |
| `ts_in_delta` | SendTime (Common) | The matching-engine-sending timestamp. |

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

### Statistics normalization

NYSE provides information about the execution price and shares matched on completion of a crossing auction 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 auction types:
- Opening price: Core Opening auction
- Closing price: Closing auction
- Uncrossing price: Halt/Re-opening auction

### Imbalance normalization

NYSE provides information about opening and closing cross imbalances in their *Imbalance* message.
Databento normalizes each message into a record in the [imbalance schema](https://databento.com/docs/schemas/imbalance.md).

| Databento Field | Pillar Field | Description |
| `ref_price` | ReferencePrice | The price at which imbalance shares are being calculated. |
| `auction_time` | AuctionTime | The projected auction time, with second precision. |
| `cont_book_clr_price` | ContinuousBookClearingPrice | The price closest to the reference price where the imbalance is 0. For significant imbalances, or if a continuous book clearing price is not reached, this field is defaulted to 0. |
| `auct_interest_clr_price` | AuctionInterestClearingPrice | For the closing auction, the price closest to the reference price where the imbalance of closing-only interest is 0. If a closing-only clearing price is not reached, this field is defaulted to 0. |
| `ssr_filing_price` | SSRFilingPrice | For non-Significant imbalances, if a Sell Short Restriction is in effect, the price at which Sell Short interest will be filed. |
| `paired_qty` | PairedQty | The number of shares that are eligible to match at the `ref_price`. |
| `total_imbalance_qty` | TotalImbalanceQty | The number of shares not paired at the `ref_price`. |
| `unpaired_qty` | UnpairedQty | During the Closing Auction, the number of unpaired shares priced at or better than the `ref_price`. |
| `auction_type` | AuctionType | The type of cross: **M**: Core opening, **H**: Halt resume, **C**: Closing, **P**: Extreme closing imbalance, **R**: Significant closing imbalance. |
| `side` | ImbalanceSide | The market side of the order imbalance: **B**id (buy) imbalance, **A**sk (sell) imbalance, **N**o imbalance. |
| `auction_status` | AuctionStatus | **0**: Will run as always for Open and Close. **1**: Will run, interest exists inside or at the collars or is fully paired off. **2**: Will not run because there is an imbalance through the collars. **3**: Will not run, will transition to the Closing Auction instead. |
| `freeze_status` | FreezeStatus | **0**: Imbalance freeze not in effect. **1**: Imbalance freeze is in effect. |
| `significant_imbalance` | SignificantImbalance | Indicates whether the current imbalance is significant. **Y** when significant, **' '** (space) otherwise. **~** prior to March 2019 when the Significant Imbalance field was added to the protocol. |

#### **Auctions**

During auction periods, an imbalance message will be published every 1 second, if changed from the previous second.
Imbalance data will only be published for NYSE listed securities during these auction periods.
At the conclusion of an auction, a [statistics record](https://databento.com/docs/datasets/xnys-pillar.md#statistics-normalization) will be published.

NYSE conducts two scheduled auctions per trading day at the following times:
- Core Open: 8:00 to 9:30 ET
- Closing: 15:50 to 16:00 ET

Auctions can also occur as the result of a trading halt.

> **See also**
>
> See this [NYSE Pillar documentation](https://www.nyse.com/publicdocs/nyse/markets/nyse/Functional_Differences_NYSE_Pillar.pdf) for more information on auctions.

### Flags normalization

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