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Add Databento data type differences
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cjdsellers committed Mar 25, 2024
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Expand Up @@ -124,6 +124,8 @@ Nautilus data includes at *least* two timestamps (required by the `Data` contrac

When decoding and normalizing Databento to Nautilus we generally assign the Databento `ts_recv` value to the Nautilus
`ts_event` field, as this timestamp is much more reliable and consistent, and is guaranteed to be monotonically increasing per instrument.
The exception to this are the `DatabentoImbalance` and `DatabentoStatistics` data types, which have fields for all timestamps
- as the types are defined specifically for the adapter.

```{note}
See the following Databento docs for further information:
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