Nasdaq Basic with NLS Plus
Nasdaq disseminates top-of-book data via their QBBO feed, and last sale data via their NLS and NLS+ feeds. 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 Nasdaq's website for the QBBO, NLS and NLS+ feeds.
Timestamps
Nasdaq Basic 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.
Source feeds
Nasdaq Basic is composed of data from the Nasdaq QBBO and Nasdaq NLS+ feeds.
Venues
Nasdaq Basic contains trade data for the following venues:
- Nasdaq (XNAS)
- Nasdaq BX (XBOS)
- Nasdaq PSX (XPSX)
- FINRA/Nasdaq TRF Carteret (FINN)
- FINRA/Nasdaq TRF Chicago (FINC)
However, only quotes for Nasdaq (XNAS) are provided.
The publisher_id field on every record from Databento can be used to identify the venue associated with the event.
Because Nasdaq BX, Nasdaq PSX and the TRF facilities do not have a BBO disseminated by Nasdaq QBBO, the MBP-1, BBO and TBBO schemas are not available. Instead, the equivalent consolidated schemas are provided: CMBP-1, CBBO and TCBBO.
Normalization
There are only Add and Trade actions for Nasdaq Basic.
Trade records are normalized from NLS+ Trade Report for Non-NextShares or Long form Trade Report for Non-NextShares messages.
The publisher_id field will identify the venue associated with the trade.
There is no information about the side of the trade, so side will always be N.
Add records are normalized from Nasdaq QBBO Quotation Message.
An A record will be published anytime the best bid or offer quote is updated.
The publisher_id field will always be set to 93 (XNAS_BASIC_EQUS)
Definition normalization
Definition records are sourced from NLS+ Stock Directory messages.
| Databento Field | TotalView Field | Description |
|---|---|---|
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. |
Statistics normalization
Statistics records are sourced from NLS+ Trade Report for Non-NextShares messages. Databento provides the opening price and closing price statistics based on the sale condition field of these trade messages.