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Examples and tutorials

Schemas and data formats

Standards and conventions

Venues and datasets

CME Globex MDP 3.0

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Databento US Equities Basic

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IEX TOPS

IEX disseminates top-of-book and trade information for its US equities exchange through their IEX TOPS feed over the IEX-TP v1 protocol, which Databento receives over UDP multicast in our NY4 data center.

PDF specifications are available through IEX's website for IEX TOPS and IEX-TP v1.

Info
The Databento team is currently working on this article.

Timestamps

IEX TOPS messages received by Databento 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.

Databento Field	IEX Field	Description
`ts_recv`	N/A	The capture-server-received timestamp.
`ts_event`	Timestamp (TOPS)	The matching-engine-received timestamp.
`ts_in_delta`	Send Time (TP)	The matching-engine-sending timestamp.

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

MBO normalization

The IEX TOPS feed only includes top-of-book and trades, which matches Databento's MBP-1 schema. However, we do also offer these messages normalized into our MBO schema for consistency with other datasets with the caveat that some details are not made available by the upstream IEX TOPS feed.

Each IEX "Quote Update Message" is normalized into a pair of MBO records, as described in the conventions for top-of-book datasets.

Each IEX "Trade Report Message" is normalized into a single MBO record with the Trade action, and the message's "Trade ID" field is used as the order_id. There is no information exposed about the aggressing or passive sides of the order so side will always be set to None and no F records are emitted.