From 8c6352747202898a6c1f29e59b8e8575b0988f3b Mon Sep 17 00:00:00 2001 From: Chris Sellers Date: Mon, 25 Mar 2024 18:55:04 +1100 Subject: [PATCH] Add Databento data type differences --- docs/integrations/databento.md | 2 ++ 1 file changed, 2 insertions(+) diff --git a/docs/integrations/databento.md b/docs/integrations/databento.md index 4e7e681f8d56..29268698f2af 100644 --- a/docs/integrations/databento.md +++ b/docs/integrations/databento.md @@ -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: