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Schemas and data formats

Market by price (MBP-10)

MBP-10 (market by price) provides every order book event across the top ten price levels, keyed by price. This includes every trade and changes to aggregate market depth, alongside total size and order count at the top ten price levels.

This is often called "L2 data".

Fields (mbp-10)

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 10 in the MBP-10 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.
action char The event action. Can be Add, Cancel, Modify, cleaR book, or Trade. See Action.
side char The side that initiates the event. Can be Ask for a sell order (or sell aggressor in a trade), Bid for a buy order (or buy aggressor in a trade), or None where no side is specified. See Side.
depth uint8_t The book level where the update event occurred.
price int64_t The order price where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
size uint32_t The order quantity.
flags uint8_t A bit field indicating event end, message characteristics, and data quality. See Flags.
ts_in_delta int32_t The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv. See ts_in_delta.
sequence uint32_t The message sequence number assigned at the venue.
bid_px_N int64_t The bid price at level N (top level if N = 00) where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
ask_px_N int64_t The ask price at level N (top level if N = 00) where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001. See Prices.
bid_sz_N uint32_t The bid size at level N (top level if N = 00).
ask_sz_N uint32_t The ask size at level N (top level if N = 00).
bid_ct_N uint32_t The bid order count at level N (top level if N = 00).
ask_ct_N uint32_t The ask order count at level N (top level if N = 00).

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

It is possible to construct MBP-10 yourself from MBO data if you want more price levels or prefer to reduce your bandwidth use. Learn how to construct a limit order book from MBO data from our limit order book construction tutorial.

Python C++ Rust HTTP/Raw