Market by order (MBO)
Market by order (MBO) provides every order book event across every price level, keyed by its order ID. This allows you to determine the queue position of each order and provides the highest level of granularity available.
MBO data includes all trades, fills, adds, cancels, modifies (or replaces), book clear events, and, depending on the venue and dataset, other special order events. It is often called "L3 data".
Databento groups this under full order book (L3).
Fields (mbo)
| 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 160 in the MBO 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, Trade, Fill, or None. 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. |
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. |
channel_id | uint8_t | The channel ID assigned by Databento as an incrementing integer starting at zero. |
order_id | uint64_t | The order ID assigned by the venue. |
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. |
Snapshots
For the convenience of managing state and recovery, Databento provides a synthetic snapshot of the order book at the start of each UTC day in our historical MBO data and periodic book snapshots in our real-time MBO data. The mechanics of these snapshots are detailed here.
Learn more about the different action types and how to manage order state with respect to each action from our State management of resting orders tutorial.
Also learn how to construct a limit order book from MBO data from our limit order book construction tutorial.
MBO 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.