CGIF Intraday Net Asset Values

Dataset ID: INAV.CGIF

Cboe disseminates intraday net asset value (iNAV) estimates for exchange-traded products through their Cboe Titanium Cboe Global Indices Feed (CGIF), which Databento receives over UDP multicast in our NY4 data center.

CGIF is an index feed rather than an order-driven market: Cboe does not publish order book depth for these datasets, so Databento does not offer an MBO schema for CGIF. INAV.CGIF only carries IndexValue messages, which are normalized to the trades and MBP-1 schemas. Index status is normalized to the status schema, and index definitions to instrument definitions.

Other CGIF datasets

The Cboe Titanium Cboe Global Indices Feed also carries values from several other index providers, each published as its own dataset.

• Cboe Global Indices Feed (MAIN.CGIF)
• Cboe Global Indices (CGI.CGIF)
• MSCI (MSCI.CGIF)
• FTSE Russell (FTSE.CGIF)
• Morningstar (MSTAR.CGIF)
• Crypto Currency Indices (CCCY.CGIF)

Timestamps

CGIF messages include a SendingTime in the packet header, shared by every message in that packet. As with all of our datasets, we also collect a ts_recv timestamp when the packet was received by our capture server.

Note that SendingTime only carries millisecond resolution, and no additional precision is added when normalizing it to a nanosecond ts_event. More details about our timestamps are available in our timestamping guide.

MBP-1 and Trades

CGIF does not publish order book depth, so each IndexValue is normalized to a single-level MBP-1 record: the Bid and Ask values become bid_px and ask_px at the top book level, the index value itself becomes price, flags is fixed to F_LAST, and action is fixed to Trade.

Every MBP-1 record also produces a matching trades record, copying over ts_recv, ts_event, ts_in_delta, price, flags, and action, with depth fixed to 0.

Statistics

There are no IndexValueWithStatus or IndexSummary source messages for INAV.CGIF, so there's no normalized statistics schema.

Definitions

• Symbol is normalized to raw_symbol verbatim
• Agent, a 2-character classification code, is normalized to group
• Channel, the CGIF channel that index data is received on, is normalized to secsubtype
• exchange is always set to the literal CGIF
• instrument_class is always INDEX
• match_algorithm is always UNDEFINED, since CGIF is an index feed with no matching engine

Status

The corresponding status schema record is derived from the definition's Status field: