Blue Ocean ATS Multicast MEMOIR Depth

Blue Ocean ATS disseminates full depth-of-book data through their Multicast MEMOIR Depth feed, which Databento receives over UDP multicast in our NY4 data center.

This dataset captures the Blue Ocean Session for US equities, which operates from 8:00 PM to 4:00 AM ET, Sunday through Thursday.

Timestamps

OCEA MEMOIR messages received by Databento include one exchange 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. For normalized MBO and trades records, ts_in_delta is left at 0.

Databento Field	OCEA MEMOIR Field	Description
`ts_recv`	N/A	The capture-server-received timestamp.
`ts_event`	Timestamp	The matching-engine-received timestamp.
`ts_in_delta`	N/A	Set to `0` for normalized MBO and trades records.

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

MBO normalization

There are six MEMOIR message types that directly affect displayed book state or trade prints. Databento normalizes these messages to MBO records as follows:

MEMOIR Message	Databento Message(s)	Description
Order Added	Add	Adds a new displayed order with `order_id`, `side`, `price`, and `size`.
Order Deleted	Cancel	Removes a displayed order. `size` is the remaining displayed size removed from the book.
Order Reduced	Cancel	Reduces a displayed order without changing time priority. `size` is the reduced quantity.
Order Executed	Trade, Fill, Cancel	Executes a displayed order; updates displayed quantity by the executed amount.
Trade	Trade	Non-displayed execution; does not modify displayed book state.
Clear Book	CleaR	Clears all displayed orders for the specified instrument.

For Order Executed messages, the aggressing order is not included in MEMOIR, so normalized Trade records have order_id set to 0. Normalized records from a single native message share the same sequence. For Order Executed and Trade, the normalizer also publishes records in the trades schema.

Trades schema normalization

Trades schema records are emitted from:

MEMOIR Message	Trades Record	Side derivation
Order Executed	Trade	Opposite of resting order side
Trade	Trade	`NONE`

Both forms use the normalized event timestamp and have ts_in_delta = 0.

Messages currently not normalized

The normalizer currently does not emit MBO/trades/status/definition output from these native message types:

Broken Trade
Corrected Trade
Snapshot Complete

Status normalization

Status records are normalized from three MEMOIR messages:

Security Trading Status
Trading Session Status
Reg SHO Restriction

Security Trading Status

MEMOIR `SecurityTradingStatus`	`action`	`is_trading`	`is_quoting`
`H` (Halted)	`HALT`	No	No
`P` (Paused)	`PAUSE`	No	No
`Q` (Quoting)	`QUOTING`	No	Yes
`T` (Trading)	`TRADING`	Yes	Yes

MEMOIR SecurityTradingStatusReason is normalized to status reason:

MEMOIR Reason	Status `reason`
`X` (None)	`NONE`
`R` (Regulatory)	`REGULATORY`
`A` (Administrative)	`ADMINISTRATIVE`

Trading Session Status

MEMOIR `TradingSession`	`action`	`is_trading`	`is_quoting`
`1` (Opening)	`PRE_OPEN`	No	Yes
`2` (Trading)	`TRADING`	Yes	Yes
`3` (PostTrading)	`POST_CLOSE`	Yes	Yes
`4` (Closed)	`CLOSE`	No	No

Reg SHO Restriction

RegSHORestriction is normalized with action SSR_CHANGE and updates is_short_sell_restricted from the source ShortSaleRestriction flag.

Status publication is gated until both system-level state (Trading Session Status) and per-instrument state (Security Trading Status) are known.

Definition normalization

Definition records are sourced from Instrument Directory messages.

MEMOIR Field	Databento Field(s)	Description
`Timestamp`	`ts_event`	Exchange event timestamp.
`SecurityID`	`instrument_id`	Session-scoped native instrument identifier.
`Symbol` + `SymbolSfx`	`raw_symbol`	CMS root and suffix combined into Databento raw symbol.
`RoundLot`	`min_lot_size_round_lot`	Round lot size.
`IsTestSymbol`	not normalized	Test-flag is not currently exposed as a dedicated definition field.
`MPV`	`min_price_increment_amount`	Minimum price variation scaled by the normalizer.

If a security is updated intraday, the corresponding definition is republished with updated values. The normalizer also sets exchange = OCEA and match_algorithm = F (FIFO).

Imbalance and statistics

OCEA MEMOIR does not currently emit imbalance or statistics records.