Downloadable CSV files
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 and derivative tickers data in daily intervals split by exchange, data type and symbol.
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.
# pip install tardis-dev# requires Python >=3.6from tardis_dev import datasetsdatasets.download(exchange="deribit",data_types=["incremental_book_L2","trades","quotes","derivative_ticker","book_snapshot_25"],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 >=12const { downloadDatasets } = require('tardis-dev');(async () => {await downloadDatasets({exchange: 'deribit',dataTypes: ['incremental_book_L2','trades','quotes','derivative_ticker','book_snapshot_25'],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
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
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.
Learn in more detail how incremental_book_l2 CSV dataset is built from real-time data.
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.
column name | description |
exchange | exchange id, one of https://api.tardis.dev/v1/exchanges ( |
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 | message arrival timestamp in microseconds since epoch |
is_snapshot | possible values:
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:
|
price | price identifying book level being updated |
amount | updated price level amount as provided by exchange, not a delta - an amount of |
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 |
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.
column name | description |
exchange | exchange id, one of https://api.tardis.dev/v1/exchanges ( |
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 | 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 |
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.
column name | description |
exchange | exchange id, one of https://api.tardis.dev/v1/exchanges ( |
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 | 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 |
Tick-by-tick trades data collected from exchanges' real-time WebSocket trades data feeds.
column name | description |
exchange | exchange id, one of https://api.tardis.dev/v1/exchanges ( |
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 | 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:
|
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 |
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).
column name | description |
exchange | exchange id, one of https://api.tardis.dev/v1/exchanges ( |
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:
|
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, 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 |
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.
column name | description |
exchange | exchange id, one of https://api.tardis.dev/v1/exchanges ( |
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 | 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 |