Source: https://databento.com/docs/schemas/mbp-1


# Market by price (MBP-1)

**MBP-1 (market by price)** provides every order book event that updates the top price level, also known as the best bid and offer (BBO). This includes every trade and changes to book depth, alongside total size and order count at the BBO.

This is often called "L1 data".

Databento groups this under [top of book](https://databento.com/docs/schemas/whats-a-schema.md#supported-schemas-and-their-fields) (L1).

### Fields (`mbp-1`)

| 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](https://databento.com/docs/conventions/common-fields-enums-types.md#ts-recv). |
| `ts_event` | uint64\_t | The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch. See [ts_event](https://databento.com/docs/conventions/common-fields-enums-types.md#ts-event). |
| `rtype` | uint8\_t | A sentinel value indicating the record type. Always 1 in the MBP-1 schema. See [Rtype](https://databento.com/docs/conventions/common-fields-enums-types.md#rtype). |
| `publisher_id` | uint16\_t | The publisher ID assigned by Databento, which denotes the dataset and venue. See [Publishers](https://databento.com/docs/conventions/common-fields-enums-types.md#publishers-datasets-and-venues). |
| `instrument_id` | uint32\_t | The numeric instrument ID. See [Instrument identifiers](https://databento.com/docs/conventions/common-fields-enums-types.md#instrument-identifiers). |
| `action` | char | The event action. Can be **A**dd, **C**ancel, **M**odify, clea**R** book, or **T**rade. See [Action](https://databento.com/docs/conventions/common-fields-enums-types.md#action). |
| `side` | char | The side that initiates the event. Can be **A**sk for a sell order (or sell aggressor in a trade), **B**id for a buy order (or buy aggressor in a trade), or **N**one where no side is specified. See [Side](https://databento.com/docs/conventions/common-fields-enums-types.md#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](https://databento.com/docs/conventions/common-fields-enums-types.md#prices). |
| `size` | uint32\_t | The order quantity. |
| `flags` | uint8\_t | A bit field indicating event end, message characteristics, and data quality. See [Flags](https://databento.com/docs/conventions/common-fields-enums-types.md#flags). |
| `ts_in_delta` | int32\_t | The matching-engine-sending timestamp expressed as the number of nanoseconds before `ts_recv`. See [ts_in_delta](https://databento.com/docs/conventions/common-fields-enums-types.md#ts-in-delta). |
| `sequence` | uint32\_t | The message sequence number assigned at the venue. |
| `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](https://databento.com/docs/conventions/common-fields-enums-types.md#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](https://databento.com/docs/conventions/common-fields-enums-types.md#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. |

> **See also**
>
> Some venues or data feeds may publish two-sided BBO changes in a single update. In cases like this where the `side` is indeterminate, we'll also use the side code `N`. Exceptions and edge cases like this can be found in our [Venues and datasets](https://databento.com/docs/datasets.md) section.

### 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**
>
> MBP-1 has many similarities to the TBBO and BBO schemas. The main distinction is that MBP-1 is in book update space, while TBBO is in trade space, and BBO is in time space. Learn about the differences between each in our [MBP-1 vs. TBBO vs. BBO schemas guide](https://databento.com/docs/faqs/difference-between-mbp-and-tbbo.md).

##### Consolidated market by price (CMBP-1)

**CMBP-1 (consolidated market by price)** provides every order book event that updates the top price level across all venues in the dataset, also known as the consolidated best bid and offer (CBBO). This includes every trade and changes to book depth, alongside total size and publisher attribution at the CBBO.

This is often called "L1 data".

### Fields (`cmbp-1`)

| 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](https://databento.com/docs/conventions/common-fields-enums-types.md#ts-recv). |
| `ts_event` | uint64\_t | The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch. See [ts_event](https://databento.com/docs/conventions/common-fields-enums-types.md#ts-event). |
| `rtype` | uint8\_t | A sentinel value indicating the record type. Always 177 in the CMBP-1 schema. See [Rtype](https://databento.com/docs/conventions/common-fields-enums-types.md#rtype). |
| `publisher_id` | uint16\_t | The publisher ID of the event. Refer to the [CMBP-1 publisher](https://databento.com/docs/schemas/mbp-1.md#cmbp-1-publisher) section below for variants. See [Publishers](https://databento.com/docs/conventions/common-fields-enums-types.md#publishers-datasets-and-venues). |
| `instrument_id` | uint32\_t | The numeric instrument ID. See [Instrument identifiers](https://databento.com/docs/conventions/common-fields-enums-types.md#instrument-identifiers). |
| `action` | char | The event action. Can be **A**dd, **C**ancel, **M**odify, clea**R** book, or **T**rade. See [Action](https://databento.com/docs/conventions/common-fields-enums-types.md#action). |
| `side` | char | The side that initiates the event. Can be **A**sk for a sell order (or sell aggressor in a trade), **B**id for a buy order (or buy aggressor in a trade), or **N**one where no side is specified. See [Side](https://databento.com/docs/conventions/common-fields-enums-types.md#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](https://databento.com/docs/conventions/common-fields-enums-types.md#prices). |
| `size` | uint32\_t | The order quantity. |
| `flags` | uint8\_t | A bit field indicating event end, message characteristics, and data quality. See [Flags](https://databento.com/docs/conventions/common-fields-enums-types.md#flags). |
| `ts_in_delta` | int32\_t | The matching-engine-sending timestamp expressed as the number of nanoseconds before `ts_recv`. See [ts_in_delta](https://databento.com/docs/conventions/common-fields-enums-types.md#ts-in-delta). |
| `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](https://databento.com/docs/conventions/common-fields-enums-types.md#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](https://databento.com/docs/conventions/common-fields-enums-types.md#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](https://databento.com/docs/conventions/common-fields-enums-types.md#publishers-datasets-and-venues). |
| `ask_pb_00` | uint16\_t | The publisher ID indicating the venue containing the best ask. See [Publishers](https://databento.com/docs/conventions/common-fields-enums-types.md#publishers-datasets-and-venues). |

> **See also**
>
> Some venues or data feeds may publish two-sided CBBO changes in a single update. In cases like this where the `side` is indeterminate, we'll also use the side code `N`. Exceptions and edge cases like this can be found in our [Venues and datasets](https://databento.com/docs/datasets.md) section.

### CMBP-1 publisher

The value used to populate the `publisher_id` field will vary depending on the `action`.
For **T**rades, `publisher_id` will correspond to the venue the trade executed on.
For all other actions, `publisher_id` will be the consolidated publisher ID for the dataset.

In all scenarios, `bid_pb_00` and `ask_pb_00` will represent the venues showing the NBBO.

### 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**
>
> CMBP-1 has many similarities to the TCBBO and CBBO schemas. The main distinction is that CMBP-1 is in book update space, while TCBBO is in trade space, and CBBO is in time space. Learn about the differences between each in our [CMBP-1 vs. TCBBO vs. CBBO schemas guide](https://databento.com/docs/faqs/difference-between-mbp-and-tbbo.md).