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NYSE National Trades and BBO

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NYSE National Trades and BBO

Dataset ID: XCIS.TRADESBBO

NYSE National disseminates top-of-book and last sale data through their BBO and Trades feeds, respectively. Databento receives these over UDP multicast in our NY4 data center. Because they come from separate feeds, BBO and trade events may be out-of-order, even within a single instrument.

PDF specifications are available on NYSE's website for the BBO and Trades feeds.

Info
The Databento team is currently working on this article.

Timestamps

NYSE National 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	BBO/Trades Field	Description
`ts_recv`	N/A	The capture-server-received timestamp.
`ts_event`	SourceTime	The matching-engine-received timestamp.
`ts_in_delta`	SendTime (Common)	The matching-engine-sending timestamp.

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

Normalization

NYSE National Trades and BBO are sourced from two separate feeds: one for the BBO and one for trades.

Add records are normalized from BBO Quote Message (140) records in the BBO feed. An A record will be published anytime the best bid or offer quote is updated.

Trade records are normalized from Trade Message (220) records in the Trades feed.

When combined, this level of data matches Databento's MBP-1 schema; however, unlike most other datasets, there is not a strict ordering between the events on the BBO feed and the Trades feed.