Cboe BZX 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 normalization

Cboe BZX provides information about the execution price and shares matched from an auction in their Auction Summary message. Databento normalizes each message into a record in the statistics schema.

Statistics are categorized by the following auction types:

Opening price: Opening
Closing price: Closing

Imbalance normalization

Cboe BZX 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.