Cboe BYZ disseminates full depth-of-book data for their exchange through their Pitch Feed, which Databento receives over UDP multicast in our NY4 data center.

The Multicast Depth of Book (Pitch) Specification is available as a PDF from Cboe's website.

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Timestamps

Cboe messages received by Databento will generally include one timestamp with nanosecond precision. As with all of our datasets, we also collect a ts_recv timestamp when the packet was received by our capture server.

Databento Field	Pitch Field	Description
`ts_recv`	N/A	The capture-server-received timestamp.
`ts_event`	Time + TimeOffset	The matching-engine-received timestamp.
`ts_in_delta`	None	The difference between `ts_recv` and `ts_event`. Redundant and can be safely ignored.

More details about our timestamps are available in our timestamping guide.

Statistics

Databento provides Opening Price and Closing Price statistics, normalized from the Auction Summary message. These statistics have the auction uncrossing price and quantity for the respective event.

Imbalance normalization

Cboe BYX provides information about opening and closing cross imbalances in their Imbalance message. Databento normalizes each message into a record in the imbalance schema.

Databento Field	Pitch Field	Description
`ref_price`	ReferencePrice	The BBO collared auction price.
`cont_book_clr_price`	IndicativePrice	Price at which the auction book and the continuous book would match.
`auct_interest_clr_price`	AuctionOnlyPrice	Price at which the auction book would match using only Eligible Auction Orders.
`paired_qty`	min(BuyShares, SellShares)	The number of shares that are eligible to match at the `ref_price`.
`total_imbalance_qty`	abs(SellShares - BuyShares)	The number of shares not paired at the `ref_price`.
`auction_type`	AuctionType	O: Opening auction. C: Closing auction. H: Halt auction. I: IPO auction. M: Cboe Market Close.
`side`	BuyShares, SellShares	The market side of the order imbalance: Bid (buy) imbalance, Ask (sell) imbalance, No imbalance.