Data Types

CSV column schemas, sample rows and download links

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

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.

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 level updates in a single message, you can recognize that by grouping rows by the local_timestamp field if needed.

Files may contain non-snapshot updates before the first snapshot — skip these rows until you encounter the first is_snapshot=true row. These are buffered updates received before the exchange sent the initial snapshot after a connection restart.

If you have any doubts about how to correctly reconstruct full order book state from the 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 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 ([].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

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 and was recorded every time any of the tracked bids/asks top 25 levels changed.

Book snapshots are reconstructed with crossed levels removed — if a bid price >= ask price appears in exchange data, the overlapping level is discarded. See order book crossing FAQ for details.

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].price, asks[0].amount, bids[0].price, bids[0].amount, ..., asks[24].price, asks[24].amount, bids[24].price, bids[24].amount

top 25 levels interleaved per level: ask price, ask amount, bid price, bid amount for each level (0-24). Asks in ascending price order, bids in descending. Empty if there aren't enough price levels.

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

...

deribit

BTC-PERPETUAL

1599868800206000

1599868800253274

10396

48050

10395.5

18220

10396.5

22220

10395

16570

...

deribit

BTC-PERPETUAL

1599868800280000

1599868800310441

10396

48050

10395.5

18220

10396.5

22220

10395

16570

...

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 and was recorded every time any of the tracked bids/asks top 5 levels changed.

Book snapshots are reconstructed with crossed levels removed — if a bid price >= ask price appears in exchange data, the overlapping level is discarded. See order book crossing FAQ for details.

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].price, asks[0].amount, bids[0].price, bids[0].amount, ..., asks[4].price, asks[4].amount, bids[4].price, bids[4].amount

top 5 levels interleaved per level: ask price, ask amount, bid price, bid amount for each level (0-4). Asks in ascending price order, bids in descending. Empty if there aren't enough price levels.

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

bitmex

XBTUSD

1598918402683390

11658

1399982

11657.5

2293327

11658.5

82328

11657

37555

11659

3001

11656.5

110647

11659.5

10843

11656

10063

11660

2522

11655.5

4039

bitmex

XBTUSD

1598918403229829

11658

1399982

11657.5

2293327

11658.5

82328

11657

37555

11659

3001

11656.5

110647

11659.5

10835

11656

10063

11660

2522

11655.5

4039

trades

Individual 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 ([].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

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

side

price

amount

bitmex

XBTUSD

1585699202957000

1585699203089980

d20...

buy

6425.5

bitmex

XBTUSD

1585699202980000

1585699203095276

619...

sell

6425

150

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 data feeds. Options chain data is currently available for Deribit, OKX Options, Bybit Options, Binance European Options, Bullish, and HTX Options.

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 ([].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 if 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 if exchange does not provide one

mark_iv

implied volatility for mark price, empty if exchange does not provide one

underlying_index

underlying index name that option contract is based upon

underlying_price

underlying price, empty if exchange does not provide one

delta

delta value for the option, empty if exchange does not provide one

gamma

gamma value for the option, empty if exchange does not provide one

vega

vega value for the option, empty if exchange does not provide one

theta

theta value for the option, empty if exchange does not provide one

rho

rho value for the option, empty if 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

quotes

Top of the book (best bid/ask) data reconstructed from exchanges' real-time WebSocket order book L2 data feeds, with best bid/ask recorded every time the top of the book changes.

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 ([].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

6423

6422.9

112

huobi-dm-swap

BTC-USD

1585699201175000

1585699201292111

6423

6422.9

114

book_ticker

Top of the book (best bid/ask) data collected directly from exchanges' real-time WebSocket best bid/offer channels (e.g., Binance bookTicker, Bybit orderbook.1). Unlike quotes which are derived from L2 order book data, book_ticker is sourced from the native exchange-provided WebSocket best bid/offer feed.

See details which exchanges support it and since when.

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, empty if there aren't any asks

ask_price

best ask price, empty if there aren't any asks

bid_price

best bid price, empty if there aren't any bids

bid_amount

best bid amount, empty if there aren't any bids

exchange

symbol

timestamp

local_timestamp

ask_amount

ask_price

bid_price

bid_amount

binance

BTCUSDT

1704067200002131

2.79269

42283.59

42283.58

9.07348

binance

BTCUSDT

1704067200009508

2.79064

42283.59

42283.58

9.07348

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.

Funding fields describe upcoming funding events relative to the message timestamp. funding_timestamp is the next funding event time: the immediately upcoming event, not a previously settled funding time. funding_rate is the rate for that next event and can change until the event occurs. predicted_funding_rate, when present, estimates the following funding event.

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 for the next funding event — this value can fluctuate until the event occurs; the final value just before funding_timestamp, when provided, is the one applied by the exchange. Empty if exchange does not provide one

predicted_funding_rate

estimated funding rate for the following funding event after the next one, 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

exchange

symbol

timestamp

local_timestamp

funding_timestamp

funding_rate

predicted_funding_rate

open_interest

last_price

index_price

mark_price

bitmex

ETHUSD

1585699199651000

1585699202577291

1585713600000000

0.0001

0.001654

45921455

133.25

133.14

133.15

bitmex

ETHUSD

1585699200000000

1585699204834359

1585713600000000

0.0001

0.001654

45921455

133.25

133.12

133.13

liquidations

Liquidations data collected from exchanges' real-time WebSocket data feeds where available.

See details which exchanges support it and since when.

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

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, possible values: buy - short position was liquidated sell - long position was liquidated unknown - exchange did not provide that information

price

liquidation price as provided by exchange

amount

liquidation amount as provided by exchange

exchange

symbol

timestamp

local_timestamp

side

price

amount

binance-futures

BTCUSDT

1632009737493000

1632009737505152

sell

48283.81

0.01

binance-futures

BTCUSDT

1632009802385000

1632009802398690

buy

48339.11

0.132

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