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Examples and tutorials

Schemas and data formats

Standards and conventions

Venues and datasets

Blue Ocean ATS MEMOIR Depth

Cboe EDGA Depth

Cboe EDGX Depth

CME Globex MDP 3.0

Databento US Equities Mini

Databento US Equities Summary

European Energy Exchange

ICE Europe Commodities

ICE Europe Financials

MEMX MEMOIR Depth

MIAX Pearl Depth of Market

Nasdaq Basic with NLS Plus

Nasdaq TotalView-ITCH

Nasdaq Texas TotalView-ITCH

Nasdaq PSX TotalView-ITCH

NYSE Integrated

NYSE American Integrated

NYSE Arca Integrated

NYSE National Trades and BBO

NYSE Texas Integrated

Adjustment factors

Corporate actions

Security master

Cboe EDGA Depth

Dataset ID: EDGA.PITCH

Cboe EDGA 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.

Info
The Databento team is currently working on this article.

Symbol convention

Raw symbols in this dataset use the Nasdaq convention (e.g. BRK.B, AAC+), even though the source venue is Cboe rather than Nasdaq. See CMS vs. Nasdaq symbology for the per-dataset convention map.

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.