Historical data details

Historical market data details for each exchange — available symbols, channels, date ranges etc.

Introduction

You'll find here per-exchange details about:

  • historical data availability date ranges — since when the historical data has been collected and is available

  • recorded channel names (also described as streams, subscription topics etc in exchanges docs) — available historical raw market data is being sourced from public WebSocket real-time APIs provided by the exchanges and can be filtered by those channel names, e.g.: to get historical trades for BitMEX, channel trade needs to be provided alongside requested instruments symbols via API or client lib function args.

  • symbols of recorded instruments

  • incidents - describing periods where due to internal errors data has been missing for given exchange

Some exchanges encode requested symbol in channel name as well, e.g.: Deribit trades.BTC-PERPETUAL.100ms channel. This is not the case with our API as we always consider channel name and symbol to be separate inputs. In case of Deribit example channel name would be trades and symbol BTC-PERPETUAL. If channel provides option of frequency of updates (e.g.: 100ms vs raw tick by tick) always higher frequency one is being chosen and recorded.

Exchanges

● BitMEX

Historical data availability date ranges & available symbols

BitMEX exchange historical data for all instruments is available since 2019-03-30.

Click link below to see more details.

BitMEX exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time BitMEX WebSocket channels are being recorded and available for replay:

  • trade

  • orderBookL2

  • liquidation

  • connected

  • announcement

  • chat

  • publicNotifications

  • instrument

  • settlement

  • funding

  • insurance

  • orderBookL2_25

  • quote

  • quoteBin1m

  • quoteBin5m

  • quoteBin1h

  • quoteBin1d

  • tradeBin1m

  • tradeBin5m

  • tradeBin1h

  • tradeBin1d

Data format and sample API response

Historical raw market data format is the same as provided by real-time BitMEX WebSocket API (plus local timestamps).

Official BitMEX WebSocket API docs

BitMEX exchange servers are located in AWS eu-west-1 region (EU, Ireland).

● Deribit

During recording data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (prev_change_id) - in case of detecting missed message, recording process restarts WebSocket connection.

Historical data availability date ranges & available symbols

Deribit exchange historical data for all instruments (including all options contracts) is available since 2019-03-30.

Click link below to see more details.

Deribit exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Deribit WebSocket channels are being recorded and available for replay:

  • book

  • trades

  • deribit_price_index

  • deribit_price_ranking

  • estimated_expiration_price

  • markprice.options

  • perpetual

  • ticker

  • quote

book, perpetual, ticker, trades channels data was all collected with raw interval - no aggregation was applied.

Data format and sample API response

Historical raw market data format is the same as provided by real-time Deribit WebSocket v2 API (plus local timestamps).

Official Deribit WebSocket API docs

Deribit exchange WebSocket API docs

Deribit exchange servers are located in OVH datacenter SBG (Strasbourg, France).

● Binance

Binance real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (U and u fields) - in case of detecting missed message, recording process restarts WebSocket connection. Similarly there is a validation if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

Historical data availability date ranges & available symbols

Binance exchange historical data for high and mid caps is available since 2019-03-30. Data for all instruments is available since 2019-11-14 (new API introduced that allows consuming full real-time feed of all available instruments).

Click link below to see more details.

Binance exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Binance WebSocket channels are being recorded and available for replay:

  • trade

  • ticker

  • depth

  • depthSnapshot (generated channel with full order book snapshots)

  • bookTicker

bookTicker channel is available since 2019-09-21.

Binance depth channel has been recorded with the fastest update speed API allowed at the time. It means until 30th of August 2019 it was depth (without @time suffix) - book updates pushed every 1000ms and after that date it was [email protected] - book updates pushed every 100ms (new API feature).

Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance WebSocket API (plus local timestamps).

Example API response for Binance historical market data containing order book snapshots data

Official Binance WebSocket API docs

Binance exchange WebSocket API docs

Binance exchange servers are located in AWS ap-northeast-1 region (Asia Pacific, Tokyo).

● Binance Futures

Binance Futures real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (pu and u fields) - in case of detecting missed message, recording process restarts WebSocket connection. Similarly there is a validation if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

Historical data availability date ranges & available symbols

Binance Futures exchange historical data for all instruments is available since 2019-09-14.

Click link below to see more details.

Binance Futures historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Binance Futures WebSocket channels are being recorded and available for replay:

  • aggTrade

  • ticker

  • depth

  • markPrice

  • depthSnapshot (generated channel with full order book snapshots)

  • bookTicker

bookTicker channel is available since 2019-11-06.

Binance Futures depth channel has been recorded with the fastest update speed API allowed at the time. It means until 6th of November 2019 it was depth (without @time suffix) - book updates pushed every 250ms and after that date it was [email protected] - book updates pushed every 100ms (new API feature).

Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance Futures WebSocket API (plus local timestamps).

Example API response for Binance Futures historical market data containing order book snapshots data

Official Binance Futures WebSocket API docs

Binance Futures exchange WebSocket API docs

Binance Futures exchange servers are located in AWS ap-northeast-1 region (Asia Pacific, Tokyo).

● FTX

Historical data availability date ranges & available symbols

FTX exchange historical data for all instruments is available since 2019-08-01.

Click link below to see more details.

FTX exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time FTX WebSocket channels are being recorded and available for replay:

  • orderbook

  • trades

Data format and sample API response

Historical raw market data format is the same as provided by real-time FTX WebSocket API (plus local timestamps).

Example API response for FTX historical market data request

Official FTX WebSocket API docs

FTX exchange servers are located in AWS ap-northeast-1 region (Asia Pacific, Tokyo).

● OKEx

Historical data availability date ranges & available symbols

OKEX exchange historical data for spot high and mid caps and all swap & futures instruments is available since 2019-03-30.

Click link below to see more details.

OKEx exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time OKEx WebSocket channels are being recorded and available for replay:

  • spot/ticker

  • spot/trade

  • spot/depth

  • swap/ticker

  • swap/trade

  • swap/depth

  • swap/funding_rate

  • swap/price_range

  • swap/mark_price

  • futures/ticker

  • futures/trade

  • futures/depth

  • futures/price_range

  • futures/mark_price

  • futures/estimated_price

  • index/ticker

index/ticker channel is available since 2019-09-21.

Data format and sample API response

Historical raw market data format is the same as provided by real-time OKEx WebSocket v3 API (plus local timestamps).

Example API response for OKEx historical market data request

Official OKEx WebSocket API docs

OKEx exchange WebSocket API docs

OKEx exchange servers are located in Alibaba Cloud cn-hongkong region (China, Hong Kong).

● Huobi Global

Historical data availability date ranges & available symbols

Huobi Global exchange historical data for all instruments is available since 2019-11-03.

Click link below to see more details.

Huobi exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Huobi Global WebSocket channels are being recorded and available for replay:

  • depth

  • trade

  • detail

  • bbo

depth channel was collected with step0 aggregation level (no aggregation).

Huobi Global depth real-time WebSocket channel produces full order book snapshots for each book change which is very inefficient to store. To circumvent this issue we store only initial book snapshots and then incremental updates instead - incremental updates are calculated by diffing two subsequent book snapshots and provided in the same format as other depth messages, except having additional update: true flag set as in snippet below. Update with amount (second value in array) set to 0 means such level should be deleted, otherwise price level should be updated with new amount value.

{
"ch":"market.zileth.depth.step0",
"ts":1573527600013,
"update":true,
"tick":{
"bids":[ [3.056E-05, 0] ],
"asks":[],
"ts":1573527600005,
"version":100132779130
}
}

Data format and sample API response

Historical raw market data format is the same as provided by real-time Huobi Global WebSocket API (plus local timestamps).

Example API response for Huobi Global historical market data request

Official Huobi Global WebSocket API docs

Huobi Global exchange WebSocket API docs

Huobi Global exchange servers are located in AWS ap-northeast-1 region (Asia Pacific, Tokyo). All it's APIs are proxied through Cloudflare which adds additional latency.

● Huobi DM

Historical data availability date ranges & available symbols

Huobi DM exchange historical data for all instruments is available since 2019-11-02.

Click link below to see more details.

Huobi DM exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Huobi DM WebSocket channels are being recorded and available for replay:

  • depth

  • trade

  • detail

depth channel was collected with step0 aggregation level (no aggregation).

Huobi DM depth real-time WebSocket channel produces full order book snapshots for each book change which is very inefficient to store. To circumvent this issue we store only initial book snapshots and then incremental updates instead - incremental updates are calculated by diffing two subsequent book snapshots and provided in the same format as other depth messages, except having additional update: true flag set as in snippet below. Update with amount (second value in array) set to 0 means such level should be deleted, otherwise price level should be updated with new amount value.

{
"ch": "market.ETC_CW.depth.step0",
"ts": 1572652860024,
"update": true,
"tick": {
"mrid": 24660973159,
"id": 1572652860,
"bids": [
[
4.869,
1175
]
],
"asks": [],
"ts": 1572652860013,
"version": 1572652860,
"ch": "market.ETC_CW.depth.step0"
}
}

Data format and sample API response

Historical raw market data format is the same as provided by real-time Huobi DM WebSocket API (plus local timestamps).

Example API response for Huobi DM historical market data request

Official Huobi DM WebSocket API docs

Huobi DM exchange WebSocket API docs

Huobi DM exchange servers are located in AWS ap-northeast-1 region (Asia Pacific, Tokyo). All it's APIs are proxied through Cloudflare which adds additional latency.

● bitFlyer

Historical data availability date ranges & available symbols

bitFlyer exchange historical data for all instruments is available since 2019-08-30.

Click link below to see more details.

bitFlyer exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time bitFlyer WebSocket channels are being recorded and available for replay:

  • lightning_board_snapshot

  • lightning_board

  • lightning_ticker

  • lightning_executions

When recording, lightning_board_snapshot channel is subscribed only in order to get initial order book snapshot, after that it's automatically unsubscribed as all order book update are being provided via lightning_board channel.

Data format and sample API response

Historical raw market data format is the same as provided by real-time bitFlyer lightning JSON-RPC 2.0 over WebSocket API (plus local timestamps).

Example API response for bitFlyer historical market data request

Official bitFlyer WebSocket API docs

bitflyer exchange servers are located in AWS ap-northeast-1 region (Asia Pacific, Tokyo).

● Bitstamp

Bitstamp real-time WebSocket API does not provide initial full order book snapshots for live_orders and diff_order_book channels subscriptions. To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages. Such snapshot messages are marked with "event": "snapshot" and "generated": true fields for respective channels.

Historical data availability date ranges & available symbols

Bitstamp exchange historical data for all instruments is available since 2019-03-30.

Click link below to see more details.

Bitstamp exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Bitstamp WebSocket channels are being recorded and available for replay:

  • live_trades

  • live_orders

  • diff_order_book

Data format and sample API response

Historical raw market data format is the same as provided by real-time Bitstamp WebSocket v2 API (plus local timestamps).

Example API response for Bitstamp historical market data containing order book snapshots data

Official Bitstamp WebSocket API docs

Bitstamp exchange WebSocket API docs

Bitstamp exchange servers are located in AWS eu-central-1 region (EU, Frankfurt).

● Coinbase Pro

Coinbase Pro (formerly GDAX) real-time WebSocket API provides initial full order book snapshots for level2, but not for full channel. To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages. Such snapshot messages are marked with "type":"full_snapshot" and "generated":true fields. This effectively allows reconstructing historical full order book for full (L3) channel.

During recording, data integrity of order book L2 incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream - in case of detecting missed message, recording process restarts WebSocket connection and subscribes again.

Historical data availability date ranges & available symbols

Coinbase Pro exchange historical data for all instruments is available since 2019-03-30.

Click link below to see more details.

Coinbase Pro exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Coinbase Pro WebSocket channels are being recorded and available for replay:

  • received

  • open

  • done

  • match

  • change

  • l2update

  • ticker

  • snapshot

  • last_match

  • full_snapshot (generated channel with full order book L3 snapshots)

Data format and sample API response

Historical raw market data format is the same as provided by real-time Coinbase Pro WebSocket API (plus local timestamps).

Example API response for Coinbase Pro historical market data containing order book snapshots data

Official Coinbase Pro WebSocket API docs

Coinbase Pro exchange servers are located in AWS us-east-1 region (US East, N. Virginia).

WebSocket APIs are proxied through Cloudflare which adds additional latency.

● Crypto Facilities

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream - in case of detecting missed message, recording process restarts WebSocket connection and subscribes again.

Recording of Crypto Facilities/Kraken Futures data is being done via direct API access - without Cloudflare in between - https://www.cryptofacilities.com/resources/hc/en-us/articles/360022531713-IP-whitelisting-for-direct-access.

Historical data availability date ranges & available symbols

Crypto Facilities(aka Kraken Futures) exchange historical data for all instruments is available since 2019-03-30.

Click link below to see more details.

Crypto Facilities exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Crypto Facilities WebSocket channels are being recorded and available for replay:

  • trade

  • trade_snapshot

  • book

  • book_snapshot

  • ticker

  • heartbeat

Data format and sample API response

Historical raw market data format is the same as provided by real-time Crypto Facilities WebSocket v1 API (plus local timestamps).

Example API response for Crypto Facilities historical market data request

Official Crypto Facilities WebSocket API docs

Crypto Facilities/Kraken Futures exchange servers are located in AWS eu-west-1 region (EU, Ireland).

● Kraken

Historical data availability date ranges & available symbols

Kraken exchange historical data for all instruments is available since 2019-06-04.

Click link below to see more details.

Kraken exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Kraken WebSocket channels are being recorded and available for replay:

  • ticker

  • trade

  • book

  • spread

book channel has been recorded with depth=1000.

Data format and sample API response

Historical raw market data format is the same as provided by real-time Kraken WebSocket v0.3.0 API (plus local timestamps).

Example API response for Kraken historical market data request

Official Kraken WebSocket API docs

Kraken exchange does not provide any information regarding it's data center location. All it's APIs are proxied through Cloudflare which adds additional latency.

● Gemini

Historical data availability date ranges & available symbols

Gemini exchange historical data for all instruments is available since 2019-08-30.

Click link below to see more details.

Gemini exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Gemini WebSocket channels are being recorded and available for replay:

  • trade

  • l2_updates

  • auction_open

  • auction_indicative

  • auction_result

Data format and sample API response

Historical raw market data format is the same as provided by real-time Gemini WebSocket Market Data Version 2 API (plus local timestamps).

Example API response for Gemini historical market data request

Official Gemini WebSocket API docs

Gemini exchange WebSocket API docs

Gemini exchange servers are located in Equinix NY5 data center (Secaucus, New Jersey).

● Bitfinex

Bitfinex historical market data API currently does not offer filtering by symbol or channel.

During recording data integrity of order book incremental updates messages is being validated using sequence numbers (SEQ_ALL option) provided by exchange real-time message stream - in case of detecting missed message, recording process restarts WebSocket connection and subscribes again.

Historical data availability date ranges & available symbols

Bitfinex exchange historical data for high cap instruments only is available since 2019-05-23.

Click link below to see more details.

Bitfinex historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Bitfinex WebSocket channels are being recorded and available for replay:

  • trades

  • book

book channel has been recorded both as book { prec=R0, freq=F0, len=100 } and book { prec=P0,freq=F0,len=100 }.

Data format and sample API response

Historical raw market data format is the same as provided by real-time Bitfinex WebSocket v2 API with TIMESTAMP and SEQ_ALL config flags set (plus local timestamps).

Example API response for Bitfinex historical market data request

Official Bitfinex WebSocket API docs

Bitfinex exchange servers are located in Market Synergy data center (Switzerland).

● Bitfinex Derivatives

Bitfinex Derivatives is in fact Bitfinex exchange, just it's historical stream contains only derivative instruments provided by Bitfinex.

Bitfinex Derivatives historical market data API currently does not offer filtering by symbol or channel.

During recording data integrity of order book incremental updates messages is being validated using sequence numbers (SEQ_ALL option) provided by exchange real-time message stream - in case of detecting missed message, recording process restarts WebSocket connection and subscribes again.

Historical data availability date ranges & available symbols

Bitfinex Derivatives exchange historical data for all derivative instruments is available since 2019-09-14.

Click link below to see more details.

Bitfinex Derivatives exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Bitfinex Derivatives WebSocket channels are being recorded and available for replay:

  • trades

  • book

  • status

book channel has been recorded both as book { prec=R0, freq=F0, len=100 } and book { prec=P0,freq=F0,len=100 }.

status channel provides feed about derivatives pair status, liquidations etc.

Data format and sample API response

Historical raw market data format is the same as provided by real-time Bitfinex WebSocket v2 API with TIMESTAMP and SEQ_ALL config flags set (plus local timestamps).

Example API response for Bitfinex Derivatives historical market data request

Official Bitfinex Derivatives WebSocket API docs

Bitfinex Derivatives exchange servers are located in Market Synergy data center (Switzerland).

● Binance DEX

Binance DEX real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

Historical data availability date ranges & available symbols

Binance DEX exchange historical data for all instruments is available since 2019-06-04.

Click link below to see more details.

Binance DEX exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Binance DEX WebSocket channels are being recorded and available for replay:

Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance DEX WebSocket API (plus local timestamps).

Example API response for Binance DEX historical market data containing order book snapshots data

Official Binance DEX WebSocket API docs

Binance DEX exchange WebSocket API docs

● Binance Jersey

Binance Jersey real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (U and u fields) - in case of detecting missed message, recording process restarts WebSocket connection. Similarly there is a validation if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

Historical data availability date ranges & available symbols

Binance Jersey exchange historical data for all instruments is available since 2019-10-30.

Click link below to see more details.

Binance Jersey exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Binance Jersey WebSocket channels are being recorded and available for replay:

  • trade

  • ticker

  • depth

  • depthSnapshot (generated channel with full order book snapshots)

  • bookTicker

Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance Jersey WebSocket API (plus local timestamps).

Example API response for Binance Jersey historical market data containing order book snapshots data

Official Binance Jersey WebSocket API docs

● Binance US

Binance US real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (U and u fields) - in case of detecting missed message, recording process restarts WebSocket connection. Similarly there is a validation if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

Historical data availability date ranges & available symbols

Binance US exchange historical data for all instruments is available since 2019-09-25.

Click link below to see more details.

Binance US exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Binance US WebSocket channels are being recorded and available for replay:

  • trade

  • ticker

  • depth

  • depthSnapshot (generated channel with full order book snapshots)

  • bookTicker

Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance US WebSocket API (plus local timestamps).

Example API response for Binance US historical market data containing order book snapshots data

Official Binance US WebSocket API docs

● Huobi US

Historical data availability date ranges & available symbols

Huobi US exchange historical data for all instruments is available since 2019-11-03.

Click link below to see more details.

Huobi US exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Huobi US WebSocket channels are being recorded and available for replay:

  • depth

  • trade

  • detail

depth channel was collected with step0 aggregation level (no aggregation).

Huobi US depth real-time WebSocket channel produces full order book snapshots for each book change which is very inefficient to store. To circumvent this issue we store only initial book snapshots and then incremental updates instead - incremental updates are calculated by diffing two subsequent book snapshots and provided in the same format as other depth messages, except having additional update: true flag set as in snippet below. Update with amount (second value in array) set to 0 means such level should be deleted, otherwise price level should be updated with new amount value.

{
"ch": "market.xrpbtc.depth.step0",
"ts": 1573657205069,
"update": true,
"tick": {
"bids": [
[
0.00003104,
12494
]
],
"asks": [],
"ts": 1573657205023,
"version": 100938837973
}
}

Data format and sample API response

Historical raw market data format is the same as provided by real-time Huobi US WebSocket API (plus local timestamps).

Example API response for Huobi US historical market data request

Official Huobi US WebSocket API docs

Huobi US exchange WebSocket API docs

● Bybit

Historical data availability date ranges & available symbols

Bybit exchange historical data for all instruments is available since 2019-11-07.

Click link below to see more details.

Bybit exchange historical market data details - available symbols, channels, date ranges, incidents

Recorded channels

Following real-time Bybit WebSocket channels are being recorded and available for replay:

  • trade

  • instrument_info

  • orderBookL2_25

  • insurance

Data format and sample API response

Historical raw market data format is the same as provided by real-time Bybit WebSocket API (plus local timestamps).

Example API response for Bybit historical market data request

Official Bybit WebSocket API docs

Bybit exchange servers are located in AWS ap-southeast-1 region (Asia Pacific, Singapore).