Links

Downloadable CSV files

Quick start

CSV datasets are available via dedicated datasets API that allows downloading tick level incremental order book L2 updates, order book snapshots, 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
# pip install tardis-dev
# requires Python >=3.6
from tardis_dev import datasets
datasets.download(
exchange="deribit",
data_types=[
"incremental_book_L2",
"trades",
"quotes",
"derivative_ticker",
"book_snapshot_25",
"liquidations"
],
from_date="2019-11-01",
to_date="2019-11-02",
symbols=["BTC-PERPETUAL", "ETH-PERPETUAL"],
api_key="YOUR API KEY (optionally)",
)
See full example that shows all available download options (download path customization, filenames conventions and more).
// npm install [email protected]
// requires node version >=12
const { downloadDatasets } = require('tardis-dev')
;(async () => {
await downloadDatasets({
exchange: 'deribit',
dataTypes: [
'incremental_book_L2',
'trades',
'quotes',
'derivative_ticker',
'book_snapshot_25',
'liquidations'
],
from: '2019-11-01',
to: '2019-11-02',
symbols: ['BTC-PERPETUAL', 'ETH-PERPETUAL'],
apiKey: 'YOUR API KEY (optionally)'
})
})()
See full example that shows all available download options (download path customization, filenames conventions and more).
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

CSV format details

  • columns delimiter: , (comma)
  • new line marker: \n (LF)
  • decimal mark: . (dot)
  • date time format: microseconds since epoch (https://www.epochconverter.com/)
  • 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
exchange
exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
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 snapshot
  • false - 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 orders
  • ask - 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
exchange
exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
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
exchange
exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
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..4].price
top 5 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..4].amount
top 5 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..4].price
top 5 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..4].amount
top 5 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
bitmex
XBTUSD
1598918402683390
1598918402683390
11658
1399982
11657.5
2293327
11658.5
82328
11657
37555
11659
3001
11656.5
110647
11659.5
10843
11656
10063
11660
2522
bitmex
XBTUSD
1598918403229829
1598918403229829
11658
1399982
11657.5
2293327
11658.5
82328
11657
37555
11659
3001
11656.5
110647
11659.5
10835
11656
10063
11660
2522
bitmex
XBTUSD
1598918403232925
1598918403232925
11658
1399982
11657.5
2295327
11658.5
82328
11657
37555
11659
3001
11656.5
110647
11659.5
10835
11656
10063
11660
2522
bitmex
XBTUSD
1598918403253585
1598918403253585
11658
1399982
11657.5
2295256
11658.5
82328
11657
37555
11659
3001
11656.5
110647
11659.5
10835
11656
10063
11660
2522
bitmex
XBTUSD
1598918403256460
1598918403256460
11658
1399982
11657.5
2294159
11658.5
82328
11657
37555
11659
3001
11656.5
110647
11659.5
10835
11656
10063
11660
2522
bitmex
XBTUSD
1598947264502293
1598947264502293
11950
730542
11949.5
1100309
11950.5
30454
11949
454098
11951
72967
11948.5
2519605
11951.5
48967
11948
97449
11952
55623
bitmex
XBTUSD
1598947264505452
1598947264505452
11950
730542
11949.5
1100309
11950.5
30454
11949
454098
11951
72967
11948.5
2509605
11951.5
48967
11948
97449
11952
55623
bitmex
XBTUSD
1598947264510015
1598947264510015
11950
730542
11949.5
1100975
11950.5
30454
11949
454098
11951
72967
11948.5
2509605
11951.5
48967
11948
97449
11952
55623
bitmex
XBTUSD
1598947264510024
1598947264510024
11950
730542
11949.5
1250975
11950.5
30454
11949
454098
11951
72967
11948.5
2509605
11951.5
48967
11948
97449
11952
55623
https://datasets.tardis.dev/v1/bitmex/book_snapshot_5/2020/09/01/XBTUSD.csv.gz
BitMEX XBTUSD top 5 levels order book snapshots for 2020-09-01
https://datasets.tardis.dev/v1/binance-futures/book_snapshot_5/2020/09/01/BTCUSDT.csv.gz
Binance USDT Futures BTCUSDT top 5 levels order book snapshots for 2020-09-01

• trades

Individual trades data collected from exchanges' real-time WebSocket trades data feeds.
CSV trades schema
dataset preview
column name
description
exchange
exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
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
id
trade id as provided by exchange, empty if exchange does not provide one - different exchanges provide id's as numeric values, GUID's or other strings, and some do not provide that information at all
side
liquidity taker side (aggressor), possible values:
  • buy - liquidity taker was buying
  • sell - liquidity taker was selling
  • unknown - exchange did not provide that information
price
trade price as provided by exchange
amount
trade amount as provided by exchange
exchange
symbol
timestamp
local_timestamp
id
side
price
amount
bitmex
XBTUSD
1585699202957000
1585699203089980
d20...
buy
6425.5
12
bitmex
XBTUSD
1585699202980000
1585699203095276
619...
sell
6425
150
bitmex
XBTUSD
1585699203002000
1585699203099299
751...
sell
6425
25
bitmex
XBTUSD
1585699203092000
1585699203122233
3c1...
buy
6425.5
1
bitmex
XBTUSD
1585699203092000
1585699203122233
b9b...
buy
6425.5
1
bitmex
XBTUSD
1585699203092000
1585699203122233
433...
buy
6425.5
1
bitmex
XBTUSD
1585699203092000
1585699203122233
d16...
buy
6425.5
1
bitmex
XBTUSD
1585699203092000
1585699203122233
402...
buy
6425.5
1
bitmex
XBTUSD
1585699203092000
1585699203122233
2f8...
buy
6425.5
1
https://datasets.tardis.dev/v1/bitmex/trades/2020/03/01/XBTUSD.csv.gz
Bitmex XBTUSD trades for 2020-03-01 dataset sample
https://datasets.tardis.dev/v1/okex-futures/trades/2020/03/01/FUTURES.csv.gz
OKEx Futures FUTURES instruments trades for 2020-03-01 dataset sample

• options_chain

Tick-level options summary info (strike prices, expiration dates, open interest, implied volatility, greeks etc.) for all active options instruments collected from exchanges' real-time WebSocket options tickers data feeds. Options chain data is available for Deribit (sourced from ticker channel) and OKEx Options (sourced from option/summary and index/ticker channels).
For options_chain data type only 'OPTIONS' symbol is available (one file per day for all options instruments).
CSV options_chain schema
dataset preview
column name
description
exchange
exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol
instrument symbol as provided by exchange (always uppercase)
timestamp
ticker timestamp provided by exchange in microseconds since epoch
local_timestamp
ticker message arrival timestamp in microseconds since epoch
type
option type, possible values:
  • put
  • call
strike_price
option strike price
expiration
option expiration date in microseconds since epoch
open_interest
current open interest, empty is exchange does not provide one
last_price
price of the last trade, empty if there weren't any trades yet
bid_price
current best bid price, empty if there aren't any bids
bid_amount
current best bid amount, empty if there aren't any bids
bid_iv
implied volatility for best bid, empty if there aren't any bids
ask_price
current best ask price, empty if there aren't any asks
ask_amount
current best ask amount, empty if there aren't any asks
ask_iv
implied volatility for best ask, empty if there aren't any asks
mark_price
mark price, empty is exchange does not provide one
mark_iv
implied volatility for mark price, empty is exchange does not provide one
underlying_index
underlying index name that option contract is based upon
underlying_price
underlying price, empty is exchange does not provide one
delta
delta value for the option, empty is exchange does not provide one
gamma
gamma value for the option, empty is exchange does not provide one
vega
vega value for the option, empty is exchange does not provide one
theta
theta value for the option, empty is exchange does not provide one
rho
rho value for the option, empty is exchange does not provide one
exchange
symbol
timestamp
local_timestamp
type
strike_price
expiration
open_interest
last_price
bid_price
bid_amount
bid_iv
ask_price
ask_amount
ask_iv
mark_price
mark_iv
underlying_index
underlying_price
delta
gamma
vega
theta
rho
deribit
BTC-9JUN20-9875-P
1591574399413000
1591574400196008
put
9875
1591689600000000
0.1
0.0295
0.0205
15.0
55.91
0.0235
15.0
68.94
0.02210436
62.89
SYN.BTC-9JUN20
9756.36
-0.61752
0.00103
2.24964
-53.05655
-0.22796
deribit
BTC-9JUN20-9875-P
1591574404454000
1591574404473112
put
9875
1591689600000000
0.1
0.0295
0.0205
15.0
55.91
0.0235
15.0
68.94
0.02209480
62.86
SYN.BTC-9JUN20
9756.37
-0.61757
0.00103
2.24954
-53.02754
-0.22798
deribit
BTC-9JUN20-9875-C
1591574397505000
1591574400196010
call
9875
1591689600000000
44.3
0.0080
0.0095
0.5
61.00
0.0105
20.0
65.33
0.00992836
62.87
SYN.BTC-9JUN20
9756.25
0.38232
0.00103
2.24933
-53.03038
0.13272
deribit
BTC-9JUN20-9750-C
1591574399414000
1591574400196011
call
9750
1591689600000000
30.5
0.0145
0.0145
0.3
58.80
0.0160
20.0
65.02
0.01527998
62.05
SYN.BTC-9JUN20
9756.36
0.51442
0.00109
2.35092
-54.69903
0.17789
deribit
BTC-9JUN20-9750-P
1591574397562000
1591574400196012
put
9750
1591689600000000
0.8
0.0185
0.0140
0.3
59.40
0.0155
0.3
65.63
0.01464260
62.06
SYN.BTC-9JUN20
9756.25
-0.48570
0.00109
2.35092
-54.70775
-0.17832
deribit
BTC-9JUN20-9625-P
1591574397824000
1591574400197202
put
9625
1591689600000000
9.5
0.0130
0.0090
0.4
61.64
0.0105
0.4
68.29
0.00975848
65.01
SYN.BTC-9JUN20
9756.25
-0.35780
0.00097
2.20136
-53.66975
-0.13100
deribit
BTC-9JUN20-9625-C
1591574397359000
1591574400197208
call
9625
1591689600000000
18.0
0.0220
0.0215
15.0
57.39
0.0235
20.0
66.31
0.02320750
65.02
SYN.BTC-9JUN20
9756.18
0.64212
0.00097
2.20150
-53.67532
0.22058
deribit
BTC-9JUN20-9500-P
1591574397940000
1591574400197209
put
9500
1591689600000000
51.5
0.0065
0.0060
0.5
66.31
0.0065
17.1
68.91
0.00625625
67.64
SYN.BTC-9JUN20
9756.30
-0.25091
0.00080
1.87744
-47.62196
-0.09165
deribit
BTC-9JUN20-9500-C
1591574399413000
1591574400197211
call
9500
1591689600000000
43.8
0.0165
0.0315
20.0
62.19
0.0350
0.4
80.06
0.03252520
67.64
SYN.BTC-9JUN20
9756.36
0.74914
0.00080
1.87725
-47.61618
0.25540

• quotes

Top of the book (best bid/ask) data reconstructed from exchanges' real-time WebSocket order book L2 data feeds. - best bid/ask recorded every time top of the book has changed. We on purpose choose this solution over native exchanges real-time quotes feeds as those vary a lot between exchanges, can be throttled, some are absent at all, often are delayed and published in batches in comparison to more granular L2 updates which are the basis for our quotes dataset.
CSV quotes schema
dataset preview
column name
description
exchange
exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
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
ask_amount
best ask amount as provided by exchange, empty if there aren't any asks
ask_price
best ask price as provided by exchange, empty if there aren't any asks
bid_price
best bid price as provided by exchange, empty if there aren't any bids
bid_amount
best bid amount as provided by exchange, empty if there aren't any bids
exchange
symbol
timestamp
local_timestamp
ask_amount
ask_price
bid_price
bid_amount
huobi-dm-swap
BTC-USD
1585699201147000
1585699201270777
86
6423
6422.9
112
huobi-dm-swap
BTC-USD
1585699201175000
1585699201292111
86
6423
6422.9
114
huobi-dm-swap
BTC-USD
1585699201257000
1585699201373479
84
6423
6422.9
219
huobi-dm-swap
BTC-USD
1585699201279000
1585699201495667
64
6423
6422.9
219
huobi-dm-swap
BTC-USD
1585699201295000
1585699201495715
64
6423
6422.9
229
huobi-dm-swap
BTC-USD
1585699201447000
1585699201564788
2
6423
6422.9
229
huobi-dm-swap
BTC-USD
1585699201556000
1585699201677770
64
6423
6422.9
229
huobi-dm-swap
BTC-USD
1585699201668000
1585699201784213
64
6423
6422.9
235
huobi-dm-swap
BTC-USD
1585699201747000
1585699201865051
2
6423
6422.9
235
book_ticker

• derivative_ticker

Derivative instrument ticker info (open interest, funding, mark price, index price) collected from exchanges' real-time WebSocket instruments & tickers data feeds. Anytime any of the tracked values has changed data was added to final dataset.
CSV derivative_ticker schema
dataset preview
column name
description
exchange
exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
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
funding_timestamp
timestamp of the next funding event in microseconds since epoch, empty if exchange does not provide one
funding_rate
funding rate that will take effect on the next funding event at funding timestamp, for some exchanges it's fixed, for other it fluctuates, empty if exchange does not provide one
predicted_funding_rate
estimated predicted funding rate for the next after closest funding event, empty if exchange does not provide one
open_interest
current open interest, empty if exchange does not provide one
last_price
last instrument price, empty if exchange does not provide one
index_price
index price of the instrument, empty if exchange does not provide one
mark_price
mark price of the instrument, empty if exchange does not provide one
1
exchange
symbol
timestamp
local_timestamp
funding_timestamp
funding_rate
predicted_funding_rate
open_interest
last_price
index_price
mark_price
2
bitmex
ETHUSD
1585699199651000
1585699202577291
1585713600000000
0.0001
0.001654
45921455
133.25
133.14
133.15
3
bitmex
ETHUSD
1585699200000000
1585699204834359
1585713600000000
0.0001
0.001654
45921455
133.25
133.12
133.13
4
bitmex
ETHUSD
1585699202925000
1585699205076090
1585713600000000
0.0001
0.001654
45921455
133.3
133.12
133.13
5
bitmex
ETHUSD
1585699202925000
1585699205090339
1585713600000000
0.0001
0.001654
45883853
133.3
133.12
133.13
6
bitmex
ETHUSD
1585699203465000
1585699205274555
1585713600000000
0.0001
0.001654
45883853
133.25
133.12
133.13
7
bitmex
ETHUSD
1585699204439000
1585699205951209
1585713600000000
0.0001
0.001654
45883853
133.15
133.12
133.13
8
bitmex
ETHUSD
1585699205000000
1585699206389317
1585713600000000
0.0001
0.001654
45883853
133.15
133.09
133.1
9
bitmex
ETHUSD
1585699207279000
1585699207490211
1585713600000000
0.0001
0.001654
45883853
133.2
133.09
133.1
10
bitmex
ETHUSD
1585699207279000
1585699208084951
1585713600000000
0.0001
0.001654
45867677
133.2
133.09
133.1

• liquidations

Liquidations data collected from exchanges' real-time WebSocket data feeds were available.
See details which exchanges support it and since when.
CSV liquidations schema
dataset preview
column name
description
exchange
exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
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
id
liquidation id as provided by exchange, empty if exchange does not provide one - different exchanges provide id's as numeric values, GUID's or other strings, and some do not provide that information at all
side
liquidation side:
  • buy - short position was liquidated
  • sell - long position was liquidated
price
liquidation price as provided by exchange
amount
liquidation amount as provided by exchange
exchange
symbol
timestamp
local_timestamp
id
side
price
amount
binance-futures
BTCUSDT
1632009737493000
1632009737505152
sell
48283.81
0.01
binance-futures
BTCUSDT
1632009802385000
1632009802398690
buy
48339.11
0.132
binance-futures
BTCUSDT
1632009870475000
1632009870485139
buy
48337.02
0.004
binance-futures
BTCUSDT
1632009889760000
1632009889784144
buy
48346.54
0.002
binance-futures
BTCUSDT
1632009891282000
1632009891296156
buy
48350.34
0.032
binance-futures
BTCUSDT
1632009892636000
1632009892646433
buy
48355.68
0.001
binance-futures
BTCUSDT
1632009970533000
1632009970544039
buy
48290.57
0.042
binance-futures
BTCUSDT
1632010836285000
1632010836297995
sell
48186.15
0.036
binance-futures
BTCUSDT
1632010899415000
1632010899428203
sell
48150.64
0.265

Grouped symbols

In addition to standard currency pairs & instrument symbols that can be requested when via CSV datasets API, each exchange has additional special grouped symbols available depending if it supports given market type: SPOT, FUTURES, OPTIONS and PERPETUALS. When such symbol is requested then downloaded file for it has all the data for all instruments belonging for given market type. This is especially useful for options instruments that as specifying each option symbol one by one can be mundane process, using 'OPTIONS' as a symbol gives data for all options available at given time.
those special symbols are also listed in response to /exchanges/:exchange API call

Datasets API details

  • all downloadable datasets are gzip compressed
  • historical market data is available in daily intervals (separate file for each day) based on local timestamp (timestamp of message arrival) split by exchange, data type and symbol
  • data for a given day is available on the next day around 3h after 00:00 UTC - exact date until when data is available can be requested via /exchanges/:exchange API call (datasets.exportedUntil), e.g., https://api.tardis.dev/v1/exchanges/ftx
  • datasets are ordered and split into separate daily files by local_timestamp (timestamp of message arrival time)
  • empty gzip compressed file is being returned in case of no data available for a given day, symbol and data type, e.g., exchange downtime, very low volume currency pairs etc.
  • iftimestamp equals to local_timestamp it means that exchange didn't provide timestamp for message, e.g., BitMEX order book updates
  • cell in CSV file is empty if there's no value for it, e.g., no trade id if a given exchange doesn't provide one
  • datasets are sourced from Tardis.dev HTTP API, which in turn provides the the data sourced from exchanges real-time WebSocket market data feeds (in contrast to REST API endpoints)

Download via client libraries

Historical datasets for the first day of each month are available to download without API key.
Python
Node.js
# pip install tardis-dev
# requires Python >=3.6
from tardis_dev import datasets, get_exchange_details
import logging
# comment out to disable debug logs
logging.basicConfig(level=logging.DEBUG)
# function used by default if not provided via options
def default_file_name(exchange, data_type, date, symbol, format):
return f"{exchange}_{data_type}_{date.strftime('%Y-%m-%d')}_{symbol}.{format}.gz"
# customized get filename function - saves data in nested directory structure
def file_name_nested(exchange, data_type, date, symbol, format):
return f"{exchange}/{data_type}/{date.strftime('%Y-%m-%d')}_{symbol}.{format}.gz"
# returns data available at https://api.tardis.dev/v1/exchanges/deribit
deribit_details = get_exchange_details("deribit")
# print(deribit_details)
datasets.download(
# one of https://api.tardis.dev/v1/exchanges with supportsDatasets:true - use 'id' value
exchange="deribit",
# accepted data types - 'datasets.symbols[].dataTypes' field in https://api.tardis.dev/v1/exchanges/deribit,
# or get those values from 'deribit_details["datasets"]["symbols][]["dataTypes"] dict above
data_types=["incremental_book_L2", "trades", "quotes", "derivative_ticker", "book_snapshot_25", "book_snapshot_5", "liquidations"],
# change date ranges as needed to fetch full month or year for example
from_date="2019-11-01",
# to date is non inclusive
to_date="2019-11-02",
# accepted values: 'datasets.symbols[].id' field in https://api.tardis.dev/v1/exchanges/deribit
symbols=["BTC-PERPETUAL", "ETH-PERPETUAL",],
# (optional) your API key to get access to non sample data as well
api_key="YOUR API KEY",
# (optional) path where data will be downloaded into, default dir is './datasets'
# download_dir="./datasets",
# (optional) - one can customize downloaded file name/path (flat dir strucure, or nested etc) - by default function 'default_file_name' is used
# get_filename=default_file_name,
# (optional) file_name_nested will download data to nested directory structure (split by exchange and data type)
# get_filename=file_name_nested,
)
If you're running into RuntimeError: This event loop is already running error try solution from https://github.com/ipython/ipython/issues/11338#issuecomment-646539516 (adding nest_asyncio).
// npm install [email protected]
// requires node version >=12
// remove it to disable debug logs
process.env.DEBUG = 'tardis-dev*'
const { downloadDatasets, getExchangeDetails } = require('tardis-dev')
;(async () => {
// returns data available at https://api.tardis.dev/v1/exchanges/deribit
const deribitDetails = await getExchangeDetails('deribit')
// console.log(deribitDetails.datasets)
await downloadDatasets({
exchange: 'deribit', // one of https://api.tardis.dev/v1/exchanges with supportsDatasets:true - use 'id' value
dataTypes: ['incremental_book_L2', 'trades', 'quotes', 'derivative_ticker', 'book_snapshot_25', 'book_snapshot_5', 'liquidations'], // accepted data types - 'datasets.symbols[].dataTypes' field in https://api.tardis.dev/v1/exchanges/deribit, or get those values from 'deribitDetails.datasets.symbols[].dataTypes' object above
from: '2019-11-01', // change date ranges as needed to fetch full month or year for example
to: '2019-11-02', // to date is non inclusive
symbols: ['BTC-PERPETUAL', 'ETH-PERPETUAL'], // accepted values: 'datasets.symbols[].id' field in https://api.tardis.dev/v1/exchanges/deribit, or `deribitDetails.datasets.symbols[].id` from object above
apiKey: 'YOUR_API_KEY', // (optional) your API key to get access to non sample data as well
// downloadDir:'./datasets', // (optional) path where data will be downloaded into, default dir is './datasets'
// getFilename: getFilenameDefault, // (optional) - one can customize downloaded file name/path (flat dir strucure, or nested etc) - by default function 'getFilenameDefault' is used
// getFilename: getFilenameCustom // (optional) getFilenameCustom will download data to nested directory structure (split by exchange and data type)
})
})().catch((e) => {
console.log('download error', e)
})
// function used by default if not provided via options
function getFilenameDefault({ exchange, dataType, format, date, symbol }) {
return `${exchange}_${dataType}_${date.toISOString().split('T')[0]}_${symbol}.${format}.gz`
}
// customized get filename function - saves data in nested directory structure
function getFilenameCustom({ exchange, dataType, format, date, symbol }) {
return `${exchange}/${dataType}/${date.toISOString().split('T')[0]}_${symbol}.${format}.gz`
}
get
https://datasets.tardis.dev/v1
/:exchange/:dataType/:year/:month/:day/:symbol.csv.gz
Datasets API reference

Sample requests