Data
We strive to provide complete raw market data capture as published by exchange' real-time WebSocket feeds. This means that data types we support vary for every exchange, for example for BitMEX we store liquidations and chat messages data in addition to tick by tick trades and order book L2 messages, but not for FTX which doesn't provide those non standard data types. See historical data details to find out captured real-time channels for each exchange.
We also provide following normalized data types via our client libs and downloadable CSV data files:
tick-by-tick trades
order book L2 updates
order book snapshots (tick-by-tick, 10ms, 100ms, 1s, 10s etc)
quotes
derivative tick info (open interest, funding rate, mark price, index price)
OHLCV
volume/tick based trade bars
We always collect and provide data with the most granularity that exchange can offer via it's real-time feeds. High frequency means different things for each exchange so for example for Coinbase Pro it can mean L3 order book data (market-by-order), for Binance Futures all order book L2 real-time updates.
Order Book Level 2 aggregated by price data can be used to analyse among other things:
order book imbalance
average execution cost
average liquidity away from midpoint
average spread
hidden interest (i.e., iceberg orders)
We store and provide L2 data with highest resolution possible.
Order Book Level 3 data with all individual orders can be used to analyse among other things:
order resting time
order fill probability
order queue dynamics
Historical L3 data is currently available by Coinbase Pro, CoinFLEX and Bitstamp.
Yes, we do provide historical options data for Deribit and OKEx Options.
We specialize in derivatives exchanges market data and cover all top venues that trade futures contracts: BitMEX, Deribit, Binance Futures, Huobi DM and more.
Yes, we're always open to support new promising exchanges. Contact us and we'll get back to you as soon as possible to discuss details.
Normalized market data (unified data format for every exchange) is available via our official libraries and downloadable CSV data files. Our HTTP API provides data only in exchange-native format.
Cryptocurrency markets are very fragmented and every exchange provides data in it's own bespoke data format which we call exchange-native data format. Our HTTP API provides market data in this format.
For example BitMEX trade message looks like this:
{"table":"trade","action":"insert","data":[{"timestamp":"2019-06-01T00:03:11.589Z","symbol":"ETHUSD","side":"Sell","size":10,"price":268.7,"tickDirection":"ZeroMinusTick","trdMatchID":"ebc230d9-0b6e-2d5d-f99a-f90109a2b113","grossValue":268700,"homeNotional":0.08555051758063137,"foreignNotional":22.987424073915648}]}
and Deribit trade message:
{"jsonrpc":"2.0","method":"subscription","params":{"channel":"trades.ETH-26JUN20.raw","data":[{"trade_seq":18052,"trade_id":"ETH-10813935","timestamp":1577836825724,"tick_direction":0,"price":132.65,"instrument_name":"ETH-26JUN20","index_price":128.6,"direction":"buy","amount":1.0}]}}
In contrast, normalized data format means the same, unified format across multiple exchanges. We provide normalized data via our client libs (data normalization is performed client-side) as well as via downloadable CSV data files.
Sample normalized trade message:
{"type": "trade","symbol": "XBTUSD","exchange": "bitmex","id": "282a0445-0e3a-abeb-f403-11003204ea1b","price": 7996,"amount": 50,"side": "sell","timestamp": "2019-10-23T10:32:49.669Z","localTimestamp": "2019-10-23T10:32:49.740Z"}
UTC.
Raw market data is sourced from WebSocket real-time APIs provided by the exchanges. See details.
We're doing our best to provide the most complete and reliable historical raw data API on the market. To do so amongst many other things, we utilize highly available Kubernetes cluster on Google Cloud Platform that offers best in the class availability, networking and monitoring. However due to exchanges' API downtimes (maintenance, deployments etc.) we can experience market data gaps and cannot guarantee 100% data completeness. In rare circumstances, when exchange's API changes without notice or we hit new unexpected rate limits we also may fail to record data during such period, it happens very rarely and is specific for each exchange, use /exchanges/:exchange API endpoint and check for incidents field in order to get most detailed and up to date information on that.
See Live Status Dashboard to take a peek about current state of market data collection.
We use WebSocket protocol for real-time data collection and occasionally HTTP REST APIs for fetching initial full order book snapshots for exchanges that do not provide them via WebSocket.
Historical market data available via HTTP API provides order book snapshots at the beginning of each day (00:00 UTC) - see details.
We also provide custom order book snapshots with customizable time intervals from tick-by-tick, milliseconds to minutes or hours, via CSV downloads and client libs in which case custom snapshots are computed client side from raw data provided via HTTP API.
Order books are collected in streaming mode - snapshot at the beginning of each day and then incremental delta updates. See details.
We also provide custom order book snapshots with customizable time intervals from tick-by-tick, milliseconds to minutes or hours, via CSV downloads and client libs in which case custom snapshots are computed client side from raw data provided via HTTP API.
Each message received via exchange' WebSocket API is timestamped with 100ns precision using single clock source at arrival time and stored in ISO 8601 format.
4 minutes (T - 4min).
