Best bid, best offer, and midprice

Overview

In this example we will use the Historical client to retrieve the best bid and offer (BBO) and use these data to calculate the midprice. To do this we will request a subset of the entire order book data and then average the bid and ask prices to calculate the midprice.

Note that ask and offer are synonyms referring to the sell price.

TBBO schema

We'll use the TBBO schema to demonstrate this. This schema contains every trade execution event together with the best bid and offer immediately before the trade.

Example 

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import databento as db

# Create a historical client
client = db.Historical("$YOUR_API_KEY")

# Request TBBO data
data = client.timeseries.get_range(
    dataset="GLBX.MDP3",
    start="2022-10-28T20:30:00",
    end="2022-10-28T21:00:00",
    symbols="ESH3",
    stype_in="raw_symbol",
    schema="tbbo",
)

# Convert to DataFrame
tbbo_data = data.to_df()

# Calculate the midprice for each row
tbbo_data["mid_px"] = tbbo_data[["ask_px_00", "bid_px_00"]].mean(axis=1)

# We now have a DataFrame that contains execution price, BBO, and midprice
print(tbbo_data[["symbol", "side", "price", "ask_px_00", "mid_px", "bid_px_00"]])

Result 

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                                    symbol side    price  ask_px_00    mid_px  bid_px_00
ts_recv
2022-10-28 20:30:59.047138053+00:00   ESH3    B  3955.25    3955.25  3955.000    3954.75
2022-10-28 20:37:53.112494436+00:00   ESH3    A  3955.00    3955.75  3955.375    3955.00
2022-10-28 20:39:05.152071481+00:00   ESH3    A  3955.00    3955.75  3955.375    3955.00
2022-10-28 20:51:37.650473254+00:00   ESH3    B  3955.50    3955.50  3955.125    3954.75
2022-10-28 20:52:36.842346377+00:00   ESH3    A  3956.00    3956.25  3956.125    3956.00
2022-10-28 20:52:57.780797186+00:00   ESH3    B  3955.00    3955.00  3954.750    3954.50
2022-10-28 20:57:28.474236098+00:00   ESH3    A  3954.75    3956.25  3955.500    3954.75
2022-10-28 20:59:15.075191111+00:00   ESH3    A  3953.75    3956.00  3954.875    3953.75
2022-10-28 20:59:34.607239899+00:00   ESH3    A  3954.50    3956.00  3955.250    3954.50