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BBO on interval (BBO)

BBO on interval (BBO) provides the last best bid, best offer, and sale at 1-second or 1-minute intervals. This is a subset of MBP-1.

Databento adopts the following convention for BBO:

  • The time interval is indicated by the schema ID's suffix: -1s for 1-second and -1m for 1-minute.
  • If no trade or BBO update occurs within the interval, no record is printed.
  • If a BBO update occurs but no trade takes place within the interval, the last sale information is forward-filled from the previous interval.
  • If no BBO update occurs but a trade takes place within the interval, the BBO information is forward-filled from the previous interval.

Fields (bbo-1s and bbo-1m)

Field Type Description
ts_recv uint64_t The end timestamp of the interval, clamped to the second/minute boundary, expressed as the number of nanoseconds since the UNIX epoch.
ts_event uint64_t The matching-engine-received timestamp of the last trade for the instrument expressed as the number of nanoseconds since the UNIX epoch. Will be UNDEF_TIMESTAMP in cases where there was no last trade in the session. See ts_event.
rtype uint8_t A sentinel value indicating the record type. Can be either 195 (BBO-1s) or 196 (BBO-1m). See Rtype.
publisher_id uint16_t The publisher ID assigned by Databento, which denotes the dataset and venue. See Publishers.
instrument_id uint32_t The numeric instrument ID. See Instrument identifiers.
side char The side that initiated the last trade. Can be Ask for a sell aggressor in a trade, Bid for a buy aggressor in a trade, or None where no side is specified. See Side.
price int64_t The last trade price where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE if there was no last trade in the session. See Prices.
size uint32_t The last trade quantity. Will be 0 if there was no last trade in the session.
flags uint8_t A bit field indicating event end, message characteristics, and data quality. See Flags.
sequence uint32_t The message sequence number assigned at the venue of the last update.
bid_px_00 int64_t The bid price at the top level where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
ask_px_00 int64_t The ask price at the top level where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
bid_sz_00 uint32_t The bid size at the top level.
ask_sz_00 uint32_t The ask size at the top level.
bid_ct_00 uint32_t The bid order count at the top level.
ask_ct_00 uint32_t The ask order count at the top level.
Consolidated BBO on interval (CBBO)

Consolidated BBO on interval (CBBO) provides the consolidated last best bid, best offer, and sale at 1-second or 1-minute intervals. This is a subset of CMBP-1.

Databento adopts the following convention for CBBO:

  • The time interval is indicated by the schema ID's suffix: -1s for 1-second and -1m for 1-minute.
  • If no trade or CBBO update occurs within the interval, no record is printed.
  • If a CBBO update occurs but no trade takes place within the interval, the last sale information is forward-filled from the previous interval.
  • If no CBBO update occurs but a trade takes place within the interval, the CBBO information is forward-filled from the previous interval.

Fields (cbbo-1s and cbbo-1m)

Field Type Description
ts_recv uint64_t The end timestamp of the interval, clamped to the second/minute boundary.
ts_event uint64_t The matching-engine-received timestamp of the last trade for the instrument expressed as the number of nanoseconds since the UNIX epoch. Will be UNDEF_TIMESTAMP in cases where there was no last trade in the session. See ts_event.
rtype uint8_t A sentinel value indicating the record type. Can be either 192 (CBBO-1s) or 193 (CBBO-1m). See Rtype.
publisher_id uint16_t The publisher ID assigned by Databento, which denotes the dataset and venue. See Publishers.
instrument_id uint32_t The numeric instrument ID. See Instrument identifiers.
side char The side that initiated the last trade. Can be Ask for a sell aggressor in a trade, Bid for a buy aggressor in a trade, or None where no side is specified. See Side.
price int64_t The last trade price where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. Will be UNDEF_PRICE if there was no last trade in the session. See Prices.
size uint32_t The last trade quantity. Will be 0 if there was no last trade in the session.
flags uint8_t A bit field indicating event end, message characteristics, and data quality. See Flags.
bid_px_00 int64_t The bid price at the top level where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
ask_px_00 int64_t The ask price at the top level where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
bid_sz_00 uint32_t The bid size at the top level.
ask_sz_00 uint32_t The ask size at the top level.
bid_pb_00 uint16_t The publisher ID indicating the venue containing the best bid. See Publishers.
ask_pb_00 uint16_t The publisher ID indicating the venue containing the best ask. See Publishers.

CBBO publisher

The publisher_id field will always be the consolidated publisher ID for the dataset.

bid_pb_00 and ask_pb_00 will represent the individual venues showing the NBBO at the end of the interval.

Implementation differences between clients and encodings

Bid and ask depth messages (fields starting with bid_ and ask_) are structured differently in the C++ and Rust clients, the Python record interface, and JSON data. Instead of using the _N suffix, they're stored in an array of structures named levels, with the top-of-book at index 0.

For example, in C++, levels[5].bid_px corresponds to bid_px_05 in the Python DataFrame API and CSV format.

See also
See also

CBBO has many similarities to the CMBP-1 and TCBBO schemas. The main distinction is that CBBO is in time space, while CMBP-1 is in book update space, and TCBBO is in trade space. Learn about the differences between each in our CMBP-1 vs. TCBBO vs. CBBO schemas guide.

Python C++ Rust HTTP/Raw