Order book
Types of order book events
Learn how Databento normalizes MBO data from an order’s life cycle (e.g., Add, Fill).
Historical
State management of resting orders
Manage state of all orders to calculate BBO. Precursor to order book construction.
Historical
Limit order book construction
A complete order book implementation. Use MBO data to build the limit order book.
Historical
Microprice and book imbalance
Common predictors using order book data.
Historical
Queue position of an order
Use MBO data to get an accurate position of any order within a price level.
Historical