BBO on trade (TBBO)
BBO on trade (TBBO) provides every trade event alongside the BBO immediately before the effect of each trade. This is a subset of MBP-1.
Databento groups this under top of book (L1).
Fields (tbbo)
| 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 1 in the TBBO 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. Always Trade in the TBBO schema. See Action. |
side | char | The side that initiates the trade. Can be Ask for a sell aggressor in a trade, Bid for a 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_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. |
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. |
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. |
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.
TBBO has many similarities to the MBP-1 and BBO schemas. The main distinction is that TBBO is in trade space, while MBP-1 is in book update space, and BBO is in time space. In particular, the action type of TBBO is always Trade. Learn about the differences between each in our MBP-1 vs. TBBO vs. BBO schemas guide.
Consolidated BBO on trade (TCBBO)
Consolidated BBO on trade (TCBBO) provides every trade event alongside the consolidated BBO immediately before the effect of each trade. This is a subset of CMBP-1.
Fields (tcbbo)
| 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 194 in the TCBBO schema. See Rtype. |
publisher_id | uint16_t | The publisher ID indicating the venue where the trade executed on. See Publishers. |
instrument_id | uint32_t | The numeric instrument ID. See Instrument identifiers. |
action | char | The event action. Always Trade in the TCBBO schema. See Action. |
side | char | The side that initiates the event. Can be Ask for a sell aggressor in a trade, Bid for a 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. |
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. |
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. |
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. |
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. |
ask_pb_00 | uint16_t | The publisher ID indicating the venue containing the best ask. See Publishers. |
TCBBO publisher
The publisher_id field will correspond to the venue the trade executed on.
bid_pb_00 and ask_pb_00 will represent the individual 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.
TCBBO has many similarities to the CMBP-1 and CBBO schemas. The main distinction is that TCBBO is in trade space, while CMBP-1 is in book update space, and CBBO is in time space. In particular, the action type of TCBBO is always Trade. Learn about the differences between each in our CMBP-1 vs. TCBBO vs. CBBO schemas guide.