Imbalance
Imbalance provides auction imbalance data such as paired quantity, total quantity, and auction status.
Databento groups this under full order book (L3).
See also
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 filled 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 ref_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 venue-specific documentation. |
freeze_status | uint8_t | Venue-specific status code. Refer to the venue-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. |
significant_imbalance | char | Venue-specific status code. Refer to the venue-specific documentation. |