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Cboe EDGA Depth

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.

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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.