Databento US Equities Mini

Databento US Equities Mini is a derived top-of-book dataset, sourced from the proprietary market data feeds of both alternative trading systems (ATS) and RegNMS venues.

Schemas

The following schemas are available for this dataset: MBP-1, BBO, TBBO, Trades, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, and Definitions.

Aggregated BBO

Databento US Equities Mini is an aggregated dataset, quotes are not provided for the individual component venues. A single aggregated BBO is printed for each instrument.

To provide this aggregated BBO, Databento calculates the best bid and best ask prices across the component venues of the feed, adding together all quantity (including odd lots) at the price of the BBO regardless of venue. We do not aggregate the order counts across the component venues, so bid_ct_00 and ask_ct_00 will always be 0.

Venues

To qualify as a derived dataset, trade and BBO data are anonymized from the original venues' data.

Due to this, the publisher_id of a trade does not identify the original venue of the trade, and will always have the value EQUS.MINI.EQUS. The sequence field is set to 0 on all messages.

Aggregated OHLCV

The OHLCV schemas for Databento US Equities Mini aggregate prices and volume across all the component venues. A single aggregated OHLCV message is printed per instrument, per interval.

Timestamps

Messages received by Databento from component venues will generally include two timestamps 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.

The ts_in_delta field is not populated for this dataset and will always be set to 0.

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