API
Miscellaneous
Downloadable CSV files
Quick start
CSV datasets are available via dedicated datasets API that allows downloading incremental order book L2 updates, order book snapshots, tick-by-tick trades, options chains, quotes, derivative tickers and liquidations data.
For ongoing data, CSV datasets for a given day are available on the next day around 05:00 UTC.
CSV datasets are exported from exchanges' real-time WebSocket feeds data we collected (and also provide via our API as historical data in exchange-native format).
Historical datasets for the first day of each month are available to download without API key.
Our Node.js and Python clients have built-in functions to efficiently download whole date range of data.
Python
Node.js
cURL
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# pip install tardis-dev
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# requires Python >=3.6
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from tardis_dev import datasets
4
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datasets.download(
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exchange="deribit",
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data_types=[
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"incremental_book_L2",
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"trades",
10
"quotes",
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"derivative_ticker",
12
"book_snapshot_25",
13
"liquidations"
14
],
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from_date="2019-11-01",
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to_date="2019-11-02",
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symbols=["BTC-PERPETUAL", "ETH-PERPETUAL"],
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api_key="YOUR API KEY (optionally)",
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)
Copied!
See full example that shows all available download options (download path customization, filenames conventions and more).
1
// npm install [email protected]
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// requires node version >=12
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const { downloadDatasets } = require('tardis-dev')
4
5
;(async () => {
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await downloadDatasets({
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exchange: 'deribit',
8
dataTypes: [
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'incremental_book_L2',
10
'trades',
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'quotes',
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'derivative_ticker',
13
'book_snapshot_25',
14
'liquidations'
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],
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from: '2019-11-01',
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to: '2019-11-02',
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symbols: ['BTC-PERPETUAL', 'ETH-PERPETUAL'],
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apiKey: 'YOUR API KEY (optionally)'
20
})
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})()
Copied!
See full example that shows all available download options (download path customization, filenames conventions and more).
1
curl -o deribit_trades_2019-11-01_BTC-PERPETUAL.csv.gz https://datasets.tardis.dev/v1/deribit/trades/2019/11/01/BTC-PERPETUAL.csv.gz
2
Copied!
CSV format details
- columns delimiter: , (comma)
- new line marker: \n (LF)
- decimal mark: . (dot)
- date time timezone: UTC
Data types
• incremental_book_L2
Incremental order book L2 updates collected from exchanges' real-time WebSocket order book L2 data feeds - data as deep and granular as underlying real-time data source, please see FAQ: What is the maximum order book depth available for each supported exchange? for more details.
As exchanges real-time feeds usually publish multiple order book levels updates via single message you can recognize that by grouping rows by
local_timestamp field if needed. If you have any doubts how to correctly reconstruct full order book state from incremental_book_L2 CSV dataset, please see this answer or contact us.
In case you only need order book data for top 25 or top 5 levels, we do provide datasets with already reconstructed snapshots for every update for those. See book_snapshot_25 and book_snapshot_5.
CSV incremental_book_L2 schema
dataset preview
column name
description
symbol
instrument symbol as provided by exchange (always uppercase)
timestamp
timestamp provided by exchange in microseconds since epoch - if exchange does not provide one
local_timestamp value is used as a fallback
local_timestamp
message arrival timestamp in microseconds since epoch
is_snapshot
possible values:
true- if update was a part of initial order book snapshotfalse- if update was not a part of initial order book snapshot
If last update was not a snapshot and current one is, then existing order book state must be discarded (all existing levels removed)
side
determines to which side of the order book update belongs to:
bid- bid side of the book, buy ordersask- ask side of the book, sell orders
price
price identifying book level being updated
amount
updated price level amount as provided by exchange, not a delta - an amount of
0 indicates that the price level can be removed
exchange
symbol
timestamp
local_timestamp
is_snapshot
side
price
amount
deribit
BTC-PERPETUAL
1585699209920000
1585699209934201
false
ask
6443.5
38640
deribit
BTC-PERPETUAL
1585699209947000
1585699209957629
false
bid
6311.5
0
deribit
BTC-PERPETUAL
1585699209950000
1585699209963464
false
ask
6428
13210
deribit
BTC-PERPETUAL
1585699209967000
1585699209979152
false
bid
6311.5
750
deribit
BTC-PERPETUAL
1585699209970000
1585699209983585
false
bid
6327
16010
deribit
BTC-PERPETUAL
1585699209970000
1585699209983585
false
bid
6325
210530
deribit
BTC-PERPETUAL
1585699209972000
1585699209983691
false
bid
6351
810
deribit
BTC-PERPETUAL
1585699209972000
1585699209983691
false
bid
6352.5
18830
deribit
BTC-PERPETUAL
1585699209974000
1585699209983703
false
ask
6492
100
https://datasets.tardis.dev/v1/deribit/incremental_book_L2/2020/04/01/BTC-PERPETUAL.csv.gz
Deribit BTC-PERPETUAL incremental order book L2 updates for 2020-04-01
https://datasets.tardis.dev/v1/deribit/incremental_book_L2/2020/09/01/FUTURES.csv.gz
Deribit FUTURES instruments incremental order book L2 updates for 2020-09-01
• book_snapshot_25
Tick-level order book snapshots reconstructed from exchanges' real-time WebSocket order book L2 data feeds. Each row represents top 25 levels from each side of the limit order book book and was recorded every time any of the tracked bids/asks top 25 levels have changed.
CSV book_snapshot_25 schema
dataset preview
column name
description
symbol
instrument symbol as provided by exchange (always uppercase)
timestamp
timestamp provided by exchange in microseconds since epoch - if exchange does not provide one
local_timestamp value is used as a fallback
local_timestamp
message arrival timestamp in microseconds since epoch
asks[0..24].price
top 25 asks prices in ascending order, empty if there aren't enough price levels available in the order book or provided by the exchange
asks[0..24].amount
top 25 asks amounts in ascending order, empty if there aren't enough price levels available in the order book or provided by the exchange
bids[0..24].price
top 25 bids prices in descending order, empty if there aren't enough price levels available in the order book or provided by the exchange
bids[0..24].amount
top 25 bids amounts in descending order, empty if there aren't enough price levels available in the order book or provided by the exchange
exchange
symbol
timestamp
local_timestamp
asks[0].price
asks[0].amount
bids[0].price
bids[0].amount
asks[1].price
asks[1].amount
bids[1].price
bids[1].amount
asks[2].price
asks[2].amount
bids[2].price
bids[2].amount
asks[3].price
asks[3].amount
bids[3].price
bids[3].amount
asks[4].price
asks[4].amount
bids[4].price
bids[4].amount
asks[5].price
asks[5].amount
bids[5].price
bids[5].amount
asks[6].price
asks[6].amount
bids[6].price
bids[6].amount
asks[7].price
asks[7].amount
bids[7].price
bids[7].amount
asks[8].price
asks[8].amount
bids[8].price
bids[8].amount
asks[9].price
asks[9].amount
bids[9].price
bids[9].amount
asks[10].price
asks[10].amount
bids[10].price
bids[10].amount
asks[11].price
asks[11].amount
bids[11].price
bids[11].amount
asks[12].price
asks[12].amount
bids[12].price
bids[12].amount
asks[13].price
asks[13].amount
bids[13].price
bids[13].amount
asks[14].price
asks[14].amount
bids[14].price
bids[14].amount
asks[15].price
asks[15].amount
bids[15].price
bids[15].amount
asks[16].price
asks[16].amount
bids[16].price
bids[16].amount
asks[17].price
asks[17].amount
bids[17].price
bids[17].amount
asks[18].price
asks[18].amount
bids[18].price
bids[18].amount
asks[19].price
asks[19].amount
bids[19].price
bids[19].amount
asks[20].price
asks[20].amount
bids[20].price
bids[20].amount
asks[21].price
asks[21].amount
bids[21].price
bids[21].amount
asks[22].price
asks[22].amount
bids[22].price
bids[22].amount
asks[23].price
asks[23].amount
bids[23].price
bids[23].amount
asks[24].price
asks[24].amount
bids[24].price
bids[24].amount
deribit
BTC-PERPETUAL
1599868800206000
1599868800253274
10396
48050
10395.5
18220
10396.5
22220
10395
16570
10397
100
10394.5
22630
10397.5
8360
10394
16670
10398
1500
10393.5
16570
10398.5
13210
10393
5600
10399.5
60070
10392.5
20500
10400
5100
10392
30
10400.5
5140
10391.5
75780
10401
13040
10391
12110
10401.5
2250
10390.5
280
10402
9150
10390
52680
10402.5
119390
10389.5
18240
10403
23070
10389
73010
10403.5
53930
10388.5
67500
10404
43590
10388
313140
10404.5
271050
10387.5
280
10405
73710
10387
9840
10405.5
32480
10386.5
104570
10406
41220
10386
269050
10406.5
20400
10385.5
21840
10407
45460
10385
79000
10407.5
69630
10384.5
220
10408
22230
10384
71440
10408.5
30840
10383.5
44740
deribit
BTC-PERPETUAL
1599868800280000
1599868800310441
10396
48050
10395.5
18220
10396.5
22220
10395
16570
10397
100
10394.5
22630
10397.5
8360
10394
16670
10398
1500
10393.5
16570
10398.5
13210
10393
5600
10399.5
60070
10392.5
20500
10400
5100
10392
30
10400.5
5140
10391.5
75780
10401
13040
10391
12110
10401.5
2250
10390.5
280
10402
9150
10390
52680
10402.5
119390
10389.5
18240
10403
23070
10389
73010
10403.5
53930
10388.5
67500
10404
43590
10388
313140
10404.5
271050
10387.5
280
10405
73710
10387
9850
10405.5
32480
10386.5
104570
10406
41220
10386
269050
10406.5
20400
10385.5
21840
10407
45460
10385
79000
10407.5
69630
10384.5
220
10408
22230
10384
71440
10408.5
30840
10383.5
44740
deribit
BTC-PERPETUAL
1599868814801000
1599868814817631
10398.5
20
10398
7400
10399
4890
10397.5
17680
10399.5
520
10396.5
17680
10400
1700
10396
30280
10400.5
3010
10395.5
44110
10401
40
10395
20080
10401.5
2570
10394.5
91410
10402
400
10394
97570
10402.5
50530
10393.5
27510
10403
9960
10393
3330
10403.5
54250
10392.5
200
10404
40
10392
20400
10404.5
10
10391.5
75650
10405
93470
10391
9580
10405.5
32540
10390.5
260040
10406
26130
10390
310
10406.5
9670
10389.5
21210
10407
1180
10389
87320
10407.5
89030
10388.5
61140
10408
54860
10388
283120
10408.5
42430
10387.5
10680
10409
260680
10387
11400
10409.5
19220
10386.5
92470
10410
94970
10386
49640
10410.5
50
10385.5
6420
deribit
BTC-PERPETUAL
1599868814809000
1599868814817632
10398.5
20
10398
7400
10399
4890
10397.5
17680
10399.5
520
10396.5
17680
10400
1700
10396
30280
10400.5
3010
10395.5
44110
10401
40
10395
20080
10401.5
2570
10394.5
91410
10402
400
10394
97570
10402.5
50530
10393.5
27510
10403
9960
10393
3330
10403.5
54900
10392.5
200
10404
40
10392
20400
10404.5
10
10391.5
75650
10405
93470
10391
9580
10405.5
32540
10390.5
260040
10406
26130
10390
310
10406.5
9670
10389.5
21210
10407
1180
10389
87320
10407.5
89030
10388.5
61140
10408
54860
10388
283120
10408.5
42430
10387.5
10680
10409
260680
10387
11400
10409.5
19220
10386.5
92470
10410
94970
10386
49640
10410.5
50
10385.5
6420
deribit
BTC-PERPETUAL
1599868815411000
1599868815414125
10399
4910
10398
25080
10399.5
20
10397.5
17680
10400
2200
10396.5
17680
10400.5
2910
10396
31780
10401
40
10395.5
44110
10401.5
570
10395
20050
10402
500
10394.5
91440
10402.5
52990
10394
98510
10403
3500
10393.5
26570
10403.5
45100
10393
3330
10404
9190
10392.5
470
10404.5
10
10392
18300
10405
70030
10391.5
85130
10405.5
60800
10391
8640
10406
26130
10390.5
260040
10406.5
9270
10390
22530
10407
240
10389.5
14030
10407.5
89970
10389
65120
10408
23640
10388.5
72380
10408.5
62090
10388
283120
10409
260680
10387.5
10280
10409.5
18150
10387
11400
10410
94970
10386.5
123630
10410.5
50
10386
8470
10411
28210
10385.5
6420
deribit
BTC-PERPETUAL
1599868815411000
1599868815419035
10399
4910
10398
25080
10399.5
20
10397.5
17680
10400
2200
10396.5
17680
10400.5
2910
10396
31780
10401
40
10395.5
44110
10401.5
570
10395
20050
10402
500
10394.5
91440
10402.5
52990
10394
98510
10403
3500
10393.5
26570
10403.5
45100
10393
3330
10404
9190
10392.5
470
10404.5
10
10392
18300
10405
70030
10391.5
85130
10405.5
60800
10391
8640
10406
26130
10390.5
260040
10406.5
17270
10390
22530
10407
240
10389.5
14030
10407.5
89970
10389
65120
10408
23640
10388.5
72380
10408.5
62090
10388
283120
10409
260680
10387.5
10280
10409.5
18150
10387
11400
10410
94970
10386.5
123630
10410.5
50
10386
8470
10411
28210
10385.5
6420
deribit
BTC-PERPETUAL
1599868907943000
1599868907946933
10398
4600
10397.5
73090
10399.5
10
10397
24630
10400
3300
10396.5
22770
10400.5
10270
10396
3130
10401
25390
10395.5
5000
10401.5
119790
10395
9060
10402
8510
10394.5
17910
10402.5
8180
10394
138990
10403
10000
10393.5
33080
10404
7960
10393
3020
10404.5
15130
10392.5
8130
10405
128930
10392
100920
10405.5
109560
10391.5
83330
10406
8610
10391
32220
10406.5
34890
10390.5
278270
10407
44440
10390
47980
10407.5
102620
10389.5
292240
10408
20660
10389
65100
10408.5
175160
10388.5
790
10409
7660
10388
55720
10409.5
308550
10387.5
31440
10410
138130
10387
3830
10410.5
15940
10386.5
109470
10411
2610
10386
31560
10411.5
3780
10385.5
3450
deribit
BTC-PERPETUAL
1599868907944000
1599868907953129
10398
4600
10397.5
73090
10399.5
10
10397
24630
10400
3300
10396.5
22770
10400.5
10270
10396
3130
10401
25390
10395.5
5000
10401.5
119790
10395
1060
10402
8510
10394.5
17910
10402.5
8180
10394
146990
10403
10000
10393.5
33080
10404
7960
10393
3020
10404.5
15130
10392.5
8130
10405
128930
10392
100920
10405.5
109560
10391.5
83330
10406
8610
10391
32220
10406.5
34890
10390.5
278270
10407
44440
10390
47980
10407.5
102620
10389.5
292240
10408
20660
10389
65100
10408.5
175160
10388.5
790
10409
7660
10388
55720
10409.5
308550
10387.5
31440
10410
138130
10387
3830
10410.5
15940
10386.5
109470
10411
2610
10386
31560
10411.5
3780
10385.5
3450
deribit
BTC-PERPETUAL
1599868907993000
1599868907997022
10398
4600
10397.5
73090
10399.5
2010
10397
24630
10400
3300
10396.5
22770
10400.5
8270
10396
3130
10401
25390
10395.5
5000
10401.5
119790
10395
1060
10402
8510
10394.5
17910
10402.5
8180
10394
146990
10403
10000
10393.5
33080
10404
7960
10393
3020
10404.5
15130
10392.5
8130
10405
128930
10392
100920
10405.5
109560
10391.5
83330
10406
8610
10391
32220
10406.5
34890
10390.5
278270
10407
44440
10390
47980
10407.5
102620
10389.5
292240
10408
20660
10389
65100
10408.5
175160
10388.5
790
10409
7660
10388
55720
10409.5
308550
10387.5
31440
10410
138130
10387
3830
10410.5
15940
10386.5
109470
10411
2610
10386
31560
10411.5
3780
10385.5
3450
https://datasets.tardis.dev/v1/bitmex/book_snapshot_25/2020/09/01/XBTUSD.csv.gz
BitMEX XBTUSD top 25 levels order book snapshots for 2020-09-01
https://datasets.tardis.dev/v1/binance-futures/book_snapshot_25/2020/09/01/BTCUSDT.csv.gz
Binance USDT Futures BTCUSDT top 25 levels order book snapshots for 2020-09-01
• book_snapshot_5
Tick-level order book snapshots reconstructed from exchanges' real-time WebSocket order book L2 data feeds. Each row represents top 5 levels from each side of the limit order book book and was recorded every time any of the tracked bids/asks top 5 levels have changed.
CSV book_snapshot_5 schema
dataset preview
column name
description
symbol
instrument symbol as provided by exchange (always uppercase)
timestamp
timestamp provided by exchange in microseconds since epoch - if exchange does not provide one
local_timestamp value is used as a fallback
local_timestamp
message arrival timestamp in microseconds since epoch