Databento US Equities Summary

Nasdaq disseminates consolidated volume and end-of-day statistics via their Nasdaq NLS+ feed. Databento receives these over UDP multicast in our NY4 data center.

PDF specifications are available on Nasdaq's website for the NLS+ feed.

Schemas

Only the ohlcv-1d, statistics, and definition schemas are available.

Databento normalizes the consolidated volume provided by the Nasdaq NLS+ feed on every trade into the statistics schema. This volume is consolidated across all US exchanges.

Databento normalizes the end-of-day summary provided by the Nasdaq NLS+ feed into the ohlcv-1d schema.

Databento normalizes Stock Directory messages into the definition schema.

Definition normalization

Definition records are sourced from NLS+ Stock Directory messages.

Databento Field	NLS+ Field	Description
`exchange`	Market Category	Normalized to the MIC code of the listing venue. All Nasdaq-listed instruments will normalize to `XNAS`.
`security_type`	Issue Classification	Identifies the security class for the issue as assigned by Nasdaq. A list of the different values and their meanings can be found in Appendix E here.
`secsubtype`	Issue Sub-Type	Identifies the security sub-type for the issue as assigned by Nasdaq. A list of the different values and their meanings can be found in Appendix F here.

Timestamps

Nasdaq NLS+ messages received by Databento have at most one timestamp, which has 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 extra field ts_in_delta does not convey any additional information for this dataset, and is equivalent to ts_recv - ts_event.

Databento Field	TotalView Field	Description
`ts_recv`	N/A	The capture-server-received timestamp.
`ts_event`	Timestamp	The matching-engine-received timestamp.

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

End-of-day Summary

Nasdaq NLS+ disseminates an end-of-day summary via their API at three different times:

Once at approximately 16:15 ET
Once at approximately 17:00 ET
Once at approximately 20:15 ET

Each of those summaries reflects the summary at the publishing time.

Databento only provides the last summary (from 20:15 ET) on the ohlcv-1d schema, which includes the total post-market volume, published as a single OHLCV-1d message per date. This can lead to discrepancies when comparing against other data sources that use the other earlier summaries.

The first two preliminary summaries are disseminated by Databento under the statistics schema. The stat_flags field is set to 1 for the first summary and 2 for the second summary.