Schemas and data formats

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

What's a schema?

Compare Databento's 15 schemas, e.g., MBO, MBP, TBBO, definitions, and more.

Market by order (MBO)

Full order book data, including all buy and sell orders at every price level.

Auction imbalance data like paired quantity, total quantity, and auction status.

Market by price (MBP-10)

Aggregated book depth with every trade and book update at top ten price levels.

Market by price (MBP-1)

Aggregated book depth with every trade and book update at BBO.

BBO on trade (TBBO)

Every trade event alongside the BBO immediately before each trade.

BBO on interval (BBO)

Last best bid, best offer, and sale on 1-second or 1-minute intervals.

Every trade event, tick-by-tick.

Aggregate bars (OHLCV)

Open, high, low, close prices with volume in second, minute, hour, or daily intervals.

Instrument definitions

Properties like symbol, instrument name, expiration date, tick size, and strike price.

Daily instrument statistics like open interest and official settlement prices.

Trading session updates like halts, pauses, short-selling restrictions, and auction start.

Corporate actions

Corporate actions events with global coverage.

Adjustment factors

End-of-day price adjustment factors for capital events with global coverage.

Security master

Latest or point-in-time (PIT) static information on global market securities.