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Schemas and data formats

Learn about the schemas (data formats) supported by Databento and get a list of fields (data dictionary) for each.

Compare Databento's 15 schemas, e.g., MBO, MBP, TBBO, definitions, and more.
Terminology
Data formats
schemas image
Full order book data, including all buy and sell orders at every price level.
L3
List of fields
Data formats
Market by order bar chart image
Aggregated book depth with every trade and book update at top ten price levels.
L2
List of fields
Data formats
Market by price bar chart image
Aggregated book depth with every trade and book update at BBO.
L1
List of fields
Data formats
Market by price bar chart image
Every trade event alongside the BBO immediately before each trade.
L1
List of fields
Data formats
Trades with best bid offer image
Last best bid, best offer, and sale on 1-second or 1-minute intervals.
L1
List of fields
Data formats
Best bid and offer image
Every trade event, tick-by-tick.
L1
List of fields
Data formats
Trades table image
Open, high, low, close prices with volume in second, minute, hour, or daily intervals.
L0
List of fields
Data formats
OHLCV candles image
Properties like symbol, instrument name, expiration date, tick size, and strike price.
L0
List of fields
Data formats
Instrument definitions image
Auction imbalance data like paired quantity, total quantity, and auction status.
L3
List of fields
Data formats
Imbalance line graph image
Daily instrument statistics like open interest and official settlement prices.
L0
List of fields
Data formats
Statistics table image
Trading session updates like halts, pauses, short-selling restrictions, and auction start.
L0
List of fields
Data formats
Status line graph image
Corporate actions events with global coverage.
Reference
List of fields
Corporate actions icon
End-of-day price adjustment factors for capital events with global coverage.
Reference
List of fields
Adjustment factors icon
Latest or point-in-time (PIT) static information on global market securities.
Reference
List of fields
Security master icon