Struct CbboMsg

Namespace

DatabentoDotNet.Dbn

Assembly

DatabentoDotNet.Dbn.dll

A subsampled consolidated best bid and offer. The record of the Cbbo1S and Cbbo1M schemas.

public readonly struct CbboMsg : IRecord<CbboMsg>

Implements

IRecord<CbboMsg>

Inherited Members

ValueType.Equals(object)

ValueType.GetHashCode()

ValueType.ToString()

object.Equals(object, object)

object.GetType()

object.ReferenceEquals(object, object)

Remarks

Upstream aliases this struct as Cbbo1SMsg and Cbbo1MMsg; all three are the same type, not three layouts. Unlike BboMsg it carries no sequence number — the byte budget goes entirely to the eight-byte reserved block after TsRecv. Field order is transcribed from the #[repr(C)] Rust declaration, not from its encode_order attributes.

Fields

Flags

A bit field indicating event end, message characteristics, and data quality.

public readonly FlagSet Flags

Field Value

FlagSet

Header

The common header.

public readonly RecordHeader Header

Field Value

RecordHeader

Levels

The top of the consolidated order book.

public readonly ConsolidatedBidAskPairArray1 Levels

Field Value

ConsolidatedBidAskPairArray1

Price

The price of the last trade, where every 1 unit corresponds to 1e-9.

public readonly long Price

Field Value

long

RawSide

The raw wire byte behind Side. Not validated on decode — pass it to TryFromSide(byte, out Side) for a checked conversion.

public readonly byte RawSide

Field Value

byte

Size

The quantity of the last trade.

public readonly uint Size

Field Value

uint

TsRecv

The end of the aggregation interval, in nanoseconds since the UNIX epoch. This, not TsEvent, is the record's index timestamp.

public readonly ulong TsRecv

Field Value

ulong

Properties

IndexTs

The record's index timestamp: the one to sort by, and the one to key a symbol map with. Nanoseconds since the UNIX epoch.

public ulong IndexTs { get; }

Property Value

ulong

Remarks

This is usually ts_recv, not TsEvent. Fourteen of the twenty-one record structs carry a ts_recv and index on it; the rest have no ts_recv at all and fall back to the header's ts_event. Port of upstream's Record::raw_index_ts (record/traits.rs:52-54), whose default body is ts_event and which the #[dbn(index_ts)] field attribute overrides per struct (record.rs, compat.rs).

The distinction is not cosmetic: ts_event and ts_recv can fall on opposite sides of UTC midnight, so resolving a symbol by the wrong one silently returns the previous day's symbol, or nothing, with no error anywhere.

This is a raw timestamp and can be UndefTimestamp. Convert it with ToUtcDate(ulong) or TryToUtcDate(ulong, out LocalDate), which check the sentinel.

Side

The side that initiated the last trade. Undefined wire bytes cast through to an unnamed value rather than throwing; see RawSide.

public Side Side { get; }

Property Value

Side

SideChar

The side that initiated the last trade, as its raw ASCII character.

public char SideChar { get; }

Property Value

char

WireSize

The struct's exact size on the wire, in bytes, excluding any trailing ts_out.

public static int WireSize { get; }

Property Value

int

Methods

HasRType(RType)

Reports whether CbboMsg is the layout for records carrying rtype.

public static bool HasRType(RType rtype)

Parameters

rtype RType

The record type read from a record header.

Returns

bool

true if rtype is one of the record types this struct decodes. This is necessary but not sufficient to identify the record — see the remarks on IRecord<TSelf>.