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L1

Quick definition

Level 1 (L1) market data typically consists of top of book information including the best bid and offer (BBO).

What is L1?

Yes, Databento provides L1 data through our MBP-1, TBBO, and BBO schemas:

  • MBP-1 provides all top of book information for trades and quotes.
  • BBO on trade (TBBO) provides every trade event alongside the BBO immediately before the effect of each trade. This is a subset of MBP-1.
  • BBO on interval (BBO) provides the last best bid, best offer, and sale at 1-second or 1-minute intervals.

You can compare our L1 schemas in our documentation.

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Dataset illustration