NYSE disseminates full depth-of-book data for their exchange through their Integrated Feed, which Databento receives over UDP multicast in our NY4 data center.

The Integrated Feed Client Specification is available as a PDF from NYSE's website.

Timestamps

NYSE 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	Pillar 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.

Statistics normalization

NYSE provides information about the execution price and shares matched on completion of a crossing auction in their Cross Trade message. Databento normalizes each message into a record in the statistics schema.

Statistics are categorized by the following auction types:

Opening price: Core Opening auction
Closing price: Closing auction
Uncrossing price: Halt/Re-opening auction

Imbalance normalization

NYSE provides information about opening and closing cross imbalances in their Imbalance message. Databento normalizes each message into a record in the imbalance schema.

Databento Field	Pillar Field	Description
`ref_price`	ReferencePrice	The price at which imbalance shares are being calculated.
`auction_time`	AuctionTime	The projected auction time, with second precision.
`cont_book_clr_price`	ContinuousBookClearingPrice	The price closest to the reference price where the imbalance is 0. For significant imbalances, or if a continuous book clearing price is not reached, this field is defaulted to 0.
`auct_interest_clr_price`	AuctionInterestClearingPrice	For the closing auction, the price closest to the reference price where the imbalance of closing-only interest is 0. If a closing-only clearing price is not reached, this field is defaulted to 0.
`ssr_filing_price`	SSRFilingPrice	For non-Significant imbalances, if a Sell Short Restriction is in effect, the price at which Sell Short interest will be filed.
`paired_qty`	PairedQty	The number of shares that are eligible to match at the `ref_price`.
`total_imbalance_qty`	TotalImbalanceQty	The number of shares not paired at the `ref_price`.
`unpaired_qty`	UnpairedQty	During the Closing Auction, the number of unpaired shares priced at or better than the `ref_price`.
`auction_type`	AuctionType	The type of cross: M: Core opening, H: Halt resume, C: Closing, P: Extreme closing imbalance, R: Significant closing imbalance.
`side`	ImbalanceSide	The market side of the order imbalance: Bid (buy) imbalance, Ask (sell) imbalance, No imbalance.
`auction_status`	AuctionStatus	0: Will run as always for Open and Close. 1: Will run, interest exists inside or at the collars or is fully paired off. 2: Will not run because there is an imbalance through the collars. 3: Will not run, will transition to the Closing Auction instead.
`freeze_status`	FreezeStatus	0: Imbalance freeze not in effect. 1: Imbalance freeze is in effect.
`significant_imbalance`	SignificantImbalance	Indicates whether the current imbalance is significant. Y when significant, ' ' (space) otherwise. ~ prior to March 2019 when the Significant Imbalance field was added to the protocol.

Auctions

During auction periods, an imbalance message will be published every 1 second, if changed from the previous second. Imbalance data will only be published for NYSE listed securities during these auction periods. At the conclusion of an auction, a statistics record will be published.

NYSE conducts two scheduled auctions per trading day at the following times:

Core Open: 8:00 to 9:30 ET
Closing: 15:50 to 16:00 ET

Auctions can also occur as the result of a trading halt.

See also
See this NYSE Pillar documentation for more information on auctions.