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
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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",
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"quotes",
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"derivative_ticker",
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"book_snapshot_25",
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"liquidations"
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],
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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).
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.
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.
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.