Analytics¶

The instant the book was evaluated at.

Active bid orders, best first.

Active ask orders, best last.

The source's declared crossing invariant (see :class:~ob_analytics.protocols.FeedType); sets expectations for crossed_pct.

Row / distinct-order / trade counts.

Percentage of session time the faithful book is crossed (best_bid > best_ask). Expected ~0 for a matched book or a price-level book; a genuine, faithfully-replayed property of a diff feed.

Number of distinct crossed intervals.

Percentage of session time the book rebuilt from the per-order events is crossed. It differs from crossed_pct only when the depth table comes from somewhere else: a LOBSTER run reads its depth from the orderbook file, and its message file holds only the events inside the requested price levels, so an order cancelled outside them stays in the per-order book. The per-order views (order book snapshots, queue positions, order lifecycles) read that book. 0 on a price-level (L2) run, which has no per-order events.

Number of distinct intervals the per-order book is crossed.

How many price levels per side the venue's own book states (the venue_book passed to :func:data_quality_summary; for LOBSTER, the orderbook file). 0 when there is no venue book, or no book rebuilt from per-order events to compare with it: the venue_book check is then skipped.

Book states compared: one per event, each after its own message.

Of those, the states where the book rebuilt from the per-order events differs from the venue's in any price or size of the best venue_book_price_levels levels of either side.

Where the first of those states differs, or None when none does.

Percentage of trades with an order the feed can name left unresolved: a missing maker_event_id or taker_event_id when the feed names both, a missing maker_event_id when it names the maker only, and 0 when it names neither (see trade_attribution).

Count of event_id values occurring more than once (event_id should be globally unique — any non-zero value is suspect).

Count of order ids with more than one created event.

Distinct orders resting before the capture window (classifier label pre-existing — structurally unclassifiable, not failures).

Rows carrying a non-null venue sequence (see :func:detect_sequence_gaps). 0 when the source has no sequence or track_sequence was off at load — the sequence metrics below are then trivially zero.

Dropped-message count: skipped venue sequence numbers. Always 0 when sequence_kind is MONOTONIC, where a skip is normal.

Reordered or duplicated messages: sequence steps that did not advance, leaving out sequence_restarts.

Steps back where the source started again from a new opening book and the venue's count started again with it. The source reports them (sequence_restarts in meta.json); they are not faults of the sequence, and the resync is reported by the capture's own checks.

What the venue sequence promises, and so whether sequence_gaps was checked (see :class:~ob_analytics.protocols.SequenceKind).

Distinct order ids with a changed or deleted event but no created one. Every order resting before the capture began is an orphan, so a capture that starts mid-stream reports a small, stable count; this is also the signal a live capture's stream drifting from its opening snapshot shows up as.

Rows belonging to those orphan orders.

Rows priced at or below zero. Legal in the schema (prices are signed integer ticks) but not a tradeable level.

Rows with a negative volume (or negative fill): impossible size.

Depth rows where the events would take a price level below zero: they took more size off the level than they put on it. The depth table holds such a level at zero, so it reads less than the orders the events show resting there. Counted from the events. Always 0 on a price-level (L2) run, whose depth rows negative_volume_rows already counts.

Rows whose venue clock (exchange_timestamp) is later than the local receive clock (timestamp) — an event received before it happened. Always 0 when clocks is not BOTH. Rows from a capture's opening book (origin snapshot) are not counted: the capture may not have measured their clocks.

Steps where the venue clock goes backwards while the receive clock moves forward: messages that reached the capture out of order. Always 0 when clocks is not BOTH; the opening book's rows are left out, as for exchange_time_after_receive.

Which clocks the data carries (see :class:~ob_analytics.protocols.Clocks). The two clock checks run only when it is BOTH; with one clock there is nothing to compare, and the report says so.

Resting orders a trade printed through that the venue did not report again within :data:STALE_GRACE, worst first (see :func:detect_stale_orders). Each one stays in the rebuilt book after it has gone, so a diff feed's crossing is then partly this defect rather than the feed's normal lag.

Which orders of a trade the feed can name (see :class:~ob_analytics.protocols.TradeAttribution); sets which sides unmatched_trades_pct and trades_matched_by_order count.

Trades whose taker is an order created with size 0. Bitstamp creates an instant order bought by quote amount that way and never reports what it executed, so a trade with no row of its size is matched to the order by its id (see :class:~ob_analytics.bitstamp.BitstampTradeReader). The order and its type are right; its rows show less fill than its trades. Always 0 when the feed does not name takers.

Records the venue flagged as coming after a gap in its feed that it could not repair, so the book may be wrong from the first of them on (Databento's F_MAYBE_BAD_BOOK). Read from the events attrs (:data:~ob_analytics.schemas.MAYBE_BAD_BOOK_ATTR). None when the events carry no count, as from a source that does not flag such records, and the check does not run.

Stable identifier, matching the summary field it reads (e.g. "duplicate_event_ids").

Whether the data satisfied the check. False for a skipped check, which did not pass.

What a failure means (see :class:Severity).

One line saying what was found and how to read it.

Whether the check did not run, because the data cannot answer it. A skipped check is :attr:Severity.INFO and never fails a run; detail says why it did not run.

The data contradicts something that must hold (a duplicate event_id, a dropped venue message, a negative volume). Any failing error check fails the run.

A signal worth reading before trusting the feed, but one a sound capture can legitimately show (orders resting before the capture began, zero-priced levels, messages reordered in transit). Fails the run only under ob-analytics audit --strict.

Reported for context; never fails a run.

Rows carrying a non-null venue sequence. 0 means the frame has nothing to check (the report is then trivially clean).

Distinct consecutive sequence values seen — one per venue message (a book update that emits several rows shares one sequence, counted once).

Total count of skipped sequence numbers: the dropped-message count.

Steps where the sequence did not advance (a repeat or a decrease) — a reordered or duplicated message.

Largest single run of consecutive missing numbers (0 when none).

The last in-order sequence value before the first break, a hint for where to resync; None when the frame is clean.

The order id, as the feed writes it: an integer on most venues, a UUID string on Independent Reserve.

"bid" or "ask".

The price the order rests at, in the quote currency (ticks * tick_size).

The time of the first trade that printed through it.

Seconds from that trade to the order's next event row, or to the end of the capture when it has none.

Seconds of that span in which the order's price was the best price on its side of the faithful book: how long it held the touch after the trade showed it was gone.

The original_number of the event after which the two books differ: the row of the venue's file that states the venue's book.

"bid" or "ask".

The price level, counted from the touch (1 is the best price).

The price of that level in the rebuilt book and in the venue's, in the quote currency (ticks * tick_size); None where that book has no level there.

The size at that level in the rebuilt book and in the venue's, in integer lots; 0 where that book has no level there.