Imbalance

Imbalance data normalization differs slightly from one venue or dataset to another. Edge cases and differences are documented separately for each venue in the Venues and datasets section.

Fields (imbalance)

Field	Type	Description
`ts_recv`	uint64_t	The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch. See ts_recv.
`ts_event`	uint64_t	The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch. See ts_event.
`rtype`	uint8_t	A sentinel value indicating the record type. Always 20 in the imbalance schema. 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.
`ref_price`	int64_t	The price at which the imbalance shares are calculated, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
`auction_time`	uint64_t	Projected auction timestamp expressed as the number of nanoseconds since the UNIX epoch.
`cont_book_clr_price`	int64_t	The hypothetical auction-clearing price for both cross and continuous orders, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
`auct_interest_clr_price`	int64_t	The hypothetical auction-clearing price for cross orders only, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
`ssr_filling_price`	int64_t	The price at which Sell Short interest will be filed if a sell short restriction is in effect, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
`ind_match_price`	int64_t	The price at which the highest number of shares would trade, subject to auction collars, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
`upper_collar`	int64_t	Upper limit of the auction collar, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
`lower_collar`	int64_t	Lower limit of the auction collar, where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
`paired_qty`	uint32_t	The quantity of shares that are eligible to be matched at `ref_price`.
`total_imbalance_qty`	uint32_t	The quantity of shares that are not paired at `ref_price`.
`market_imbalance_qty`	uint32_t	The total market order imbalance quantity at the `ind_match_price`.
`unpaired_qty`	uint32_t	During the Closing Auction, the number of unpaired shares priced at or better than the `ref_price`.
`auction_type`	char	Venue-specific character code indicating the auction type.
`side`	char	The market side of the `total_imbalance_qty`. Can be Ask, Bid, or None.
`auction_status`	uint8_t	Venue-specific status code. Refer to the dataset-specific documentation.
`freeze_status`	uint8_t	Venue-specific status code. Refer to the dataset-specific documentation.
`num_extensions`	uint8_t	The number of times the halt period has been extended.
`unpaired_side`	char	The side of the `unpaired_qty`. Reserved for future use
`significant_imbalance`	char	Venue-specific status code. Refer to the dataset-specific documentation.

Fields (imbalance)

Fields (`imbalance`)