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.

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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

Databento provides Opening Price, Closing Price and Uncrossing Price statistics, normalized from the Cross Trade message. These statistics have the auction uncrossing price and quantity for the respective event.

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, ' ' otherwise.