Introduction

You'll find here per-exchange details about:

• historical data availability date ranges — since when the historical data has been collected and is available

• recorded channel names (also described as streams, subscription topics etc in exchanges docs) — available historical raw market data is being sourced from public WebSocket real-time APIs provided by the exchanges and can be filtered by those channel names, e.g.: to get historical trades for BitMEX, channel trade needs to be provided alongside requested instruments symbols via API or client lib function args.

• symbols of recorded instruments

• incidents - describing periods where due to internal errors data has been missing for given exchange

Some exchanges encode requested symbol in channel name as well, e.g.: Deribit trades.BTC-PERPETUAL.100ms channel. This is not the case with our API as we always consider channel name and symbol to be separate inputs. In case of Deribit example channel name would be trades and symbol BTC-PERPETUAL. If channel provides option of frequency of updates (e.g.: 100ms vs raw tick by tick) always higher frequency one is being chosen and recorded.

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Recording and storing data

• All market data collection is being performed on highly available Google Cloud Platform Kubernetes cluster in London region.

• When exchange provides choice of real-time data frequency for specific data types (e.g. order book data ) always most granular, non aggregated data feed is being chosen.

• Single WebSocket connection is used to subscribe to exchange full real-time feed and is the source of stored data. We're doing our best to maintain stable connection to exchanges' WebSocket APIs when recording the data, but disconnections can happen (on average ~ 1-3 disconnects per day per exchange which result in few hundreds of milliseconds of missing message stream, but for example OKEx exchange disconnects much more frequently). See Live Status Dashboard for more details.

• Local timestamp recorded for each market message has 100ns precision and is being stored in ISO 8601 format.

• Data provided my exchanges' WebSocket connection is being stored without any modifications.

• All exchanges data recorders use the same synchronized clock ensuring reliable local timestamps.

• Collected historical market data is being stored in parallel in two separate geo-distributed storage providers.

• Historical data collection is being constantly monitored both manually and via automated tools (StackDriver, alert notifications etc.) and has built-in self-healing capabilities. We also constantly monitor for upcoming exchanges' API changes and adapt to those beforehand.

• There are multiple built-in checks detecting if connection to exchange is healthy during recording process, such as:

  • validating subscription responses - if exchange does not confirm subscriptions within 20 seconds, connection is being restarted

  • ​Heartbeat pings​

  • order books sequence numbers validation for exchange that provide those

  • validating JSON format as in some unusual cases some exchanges return invalid JSON format

  • stale connection detection - if there are no responses received within certain period (adjusted per exchange) it's most likely stale connection which get's automatically restarted

  • detection of unusually small messages count being received from exchange in given time period which likely means connection is not healthy, e.g.: receiving only 'pings' without data messages

  • and many more ...

• any incident that is caused by us (bugs, network errors etc.) is being logged and available via API​

• New market data delay is 4 minutes in relation to real-time (T - 4min).

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Order book data

Order book data for each exchange is provided in exactly the same format as exchange's WebSocket real-time stream messages, meaning that there is a full order book snapshot just after successfully establishing connection and order book's delta updates after that.

Historical market data available via API provides order book snapshots at the beginning of each day (00:00:000 UTC) and anytime exchange restarted it's connection when recording real-time data stream. It means that in order to be sure to receive initial order book snapshots one must replay historical data from 00:00:000 UTC time of the day, it also means that there is a very tiny gap in historical data (around 50-300ms range depending on exchange) during re-subscribing to exchange's real-time WebSocket stream (every 24 hours).

Some exchanges do not provide initial order book snapshots when consuming WebSocket real-time stream (like Binance, Bitstamp or Coinbase Pro full order book), hence for such exchanges there is a 'generated' order book snapshot available instead, details are specific for each exchange and can be found below.

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Exchanges

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● BitMEX

Historical data availability date ranges & available symbols

BitMEX exchange historical data for all instruments is available since 2019-03-30.

Click link below to see more details.

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Recorded channels

Following real-time BitMEX WebSocket channels are being recorded and available for replay:

• trade

• orderBookL2

• liquidation

• connected

• announcement

• chat

• publicNotifications

• instrument

• settlement

• funding

• insurance

• orderBookL2_25

• quote

• quoteBin1m

• quoteBin5m

• quoteBin1h

• quoteBin1d

• tradeBin1m

• tradeBin5m

• tradeBin1h

• tradeBin1d

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Data format and sample API response

Historical raw market data format is the same as provided by real-time BitMEX WebSocket API (plus local timestamps).

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Official BitMEX WebSocket API docs

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● Deribit

During recording data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (prev_change_id) - in case of detecting missed message, recording process restarts WebSocket connection.

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Historical data availability date ranges & available symbols

Deribit exchange historical data for all instruments (including all options contracts) is available since 2019-03-30.

Click link below to see more details.

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Recorded channels

Following real-time Deribit WebSocket channels are being recorded and available for replay:

• book

• trades

• deribit_price_index

• deribit_price_ranking

• estimated_expiration_price

• markprice.options

• perpetual

• ticker

• quote

• platform_state

book, perpetual, ticker, trades channels data was all collected with raw interval - no aggregation was applied.

platform_state channel is available since 2019-12-31.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Deribit WebSocket v2 API (plus local timestamps).

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Official Deribit WebSocket API docs

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● Binance

Binance real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (U and u fields) - in case of detecting missed message, recording process restarts WebSocket connection. Similarly there is a validation if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

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Historical data availability date ranges & available symbols

Binance exchange historical data for high and mid caps is available since 2019-03-30. Data for all instruments is available since 2019-11-14 (new API introduced that allows consuming full real-time feed of all available instruments).

Click link below to see more details.

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Recorded channels

Following real-time Binance WebSocket channels are being recorded and available for replay:

• trade

• aggTrade

• ticker

• depth

• depthSnapshot (generated channel with full order book snapshots)

• bookTicker

bookTicker channel is available since 2019-09-21.

aggTrade channel is available since 2019-11-19.

Binance depth channel has been recorded with the fastest update speed API allowed at the time. It means until 30th of August 2019 it was depth (without @time suffix) - book updates pushed every 1000ms and after that date it was [email protected] - book updates pushed every 100ms (new API feature).

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance WebSocket API (plus local timestamps).

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Official Binance WebSocket API docs

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● Binance Futures

Binance Futures real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (pu and u fields) - in case of detecting missed message, recording process restarts WebSocket connection. Similarly there is a validation if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

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Historical data availability date ranges & available symbols

Binance Futures exchange historical data for all instruments is available since 2019-11-17.

Click link below to see more details.

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Recorded channels

Following real-time Binance Futures WebSocket channels are being recorded and available for replay:

• trade

• aggTrade

• ticker

• depth

• markPrice

• depthSnapshot (generated channel with full order book snapshots)

• bookTicker

• forceOrder

forceOrder channel is available since 2019-12-05.

Binance Futures depth channel has been recorded with the fastest update speed API allowed at the time. It means until 7th of January 2020 it was [email protected] - book updates pushed every 100ms and after that date it was [email protected] - book updates pushed real-time (new API feature).

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance Futures WebSocket API (plus local timestamps).

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Official Binance Futures WebSocket API docs

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● FTX

Historical data availability date ranges & available symbols

FTX exchange historical data for all instruments is available since 2019-08-01.

Click link below to see more details.

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Recorded channels

Following real-time FTX WebSocket channels are being recorded and available for replay:

• orderbook

• trades

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Data format and sample API response

Historical raw market data format is the same as provided by real-time FTX WebSocket API (plus local timestamps).

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Official FTX WebSocket API docs

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● OKEx Spot

Historical data availability date ranges & available symbols

OKEx exchange historical data for spot high and mid caps is available since 2019-03-30. Data for all spot instruments is available since 2019-12-06.

Click link below to see more details.

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Recorded channels

Following real-time OKEx WebSocket channels are being recorded and available for replay:

• spot/trade

• spot/ticker

• spot/depth

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Data format and sample API response

Historical raw market data format is the same as provided by real-time OKEx WebSocket v3 API (plus local timestamps).

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Official OKEx WebSocket API docs

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● OKEx Futures

Historical data availability date ranges & available symbols

OKEx exchange historical data for futures instruments is available since 2019-03-30.

Click link below to see more details.

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Recorded channels

Following real-time OKEx Futures WebSocket channels are being recorded and available for replay:

• futures/trade

• futures/depth

• futures/depth_l2_tbt

• futures/price_range

• futures/mark_price

• futures/estimated_price

• futures/ticker

• index/ticker

index/ticker channel is available since 2019-09-21.

futures/depth_l2_tbt channel is available since 2019-12-05.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time OKEx WebSocket v3 API (plus local timestamps).

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Official OKEx WebSocket API docs

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● OKEx Swap

Historical data availability date ranges & available symbols

OKEx exchange historical data for swap instruments is available since 2019-03-30.

Click link below to see more details.

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Recorded channels

Following real-time OKEx Swap WebSocket channels are being recorded and available for replay:

• swap/trade

• swap/depth

• swap/funding_rate

• swap/price_range

• swap/mark_price

• swap/ticker

• index/ticker

index/ticker channel is available since 2019-09-21.

futures/depth_l2_tbt channel is available since 2019-12-05.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time OKEx WebSocket v3 API (plus local timestamps).

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Official OKEx WebSocket API docs

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● Huobi Global

Historical data availability date ranges & available symbols

Huobi Global exchange historical data for all instruments is available since 2019-11-19.

Click link below to see more details.

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Recorded channels

Following real-time Huobi Global WebSocket channels are being recorded and available for replay:

• depth

• trade

• detail

• bbo

depth channel was collected with step0 aggregation level (no aggregation).

Huobi Global depth real-time WebSocket channel produces full order book snapshots for each book change which is very inefficient to store. To circumvent this issue we store only initial book snapshots and then incremental updates instead - incremental updates are calculated by diffing two subsequent book snapshots and provided in the same format as other depth messages, except having additional update: true flag set as in snippet below. Update with amount (second value in array) set to 0 means such level should be deleted, otherwise price level should be updated with new amount value.

{
   "ch":"market.zileth.depth.step0",
   "ts":1573527600013,
   "update":true,
   "tick":{
      "bids":[ [3.056E-05, 0] ],
      "asks":[],
      "ts":1573527600005,
      "version":100132779130
   }
}

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Huobi Global WebSocket API (plus local timestamps).

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Official Huobi Global WebSocket API docs

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● Huobi DM

Historical data availability date ranges & available symbols

Huobi DM exchange historical data for all instruments is available since 2019-11-19.

Click link below to see more details.

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Recorded channels

Following real-time Huobi DM WebSocket channels are being recorded and available for replay:

• depth

• trade

• detail

depth channel was collected with step0 aggregation level (no aggregation).

Huobi DM depth real-time WebSocket channel produces full order book snapshots for each book change which is very inefficient to store. To circumvent this issue we store only initial book snapshots and then incremental updates instead - incremental updates are calculated by diffing two subsequent book snapshots and provided in the same format as other depth messages, except having additional update: true flag set as in snippet below. Update with amount (second value in array) set to 0 means such level should be deleted, otherwise price level should be updated with new amount value.

{
  "ch": "market.ETC_CW.depth.step0",
  "ts": 1572652860024,
  "update": true,
  "tick": {
    "mrid": 24660973159,
    "id": 1572652860,
    "bids": [
      [
        4.869,
        1175
      ]
    ],
    "asks": [],
    "ts": 1572652860013,
    "version": 1572652860,
    "ch": "market.ETC_CW.depth.step0"
  }
}

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Huobi DM WebSocket API (plus local timestamps).

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Official Huobi DM WebSocket API docs

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● bitFlyer

Historical data availability date ranges & available symbols

bitFlyer exchange historical data for all instruments is available since 2019-08-30.

Click link below to see more details.

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Recorded channels

Following real-time bitFlyer WebSocket channels are being recorded and available for replay:

• lightning_board_snapshot

• lightning_board

• lightning_ticker

• lightning_executions

When recording, lightning_board_snapshot channel is subscribed only in order to get initial order book snapshot, after that it's automatically unsubscribed as all order book update are being provided via lightning_board channel.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time bitFlyer lightning JSON-RPC 2.0 over WebSocket API (plus local timestamps).

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Official bitFlyer WebSocket API docs

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● Bitstamp

Bitstamp real-time WebSocket API does not provide initial full order book snapshots for live_orders and diff_order_book channels subscriptions. To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages. Such snapshot messages are marked with "event": "snapshot" and "generated": true fields for respective channels.

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Historical data availability date ranges & available symbols

Bitstamp exchange historical data for all instruments is available since 2019-03-30.

Click link below to see more details.

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Recorded channels

Following real-time Bitstamp WebSocket channels are being recorded and available for replay:

• live_trades

• live_orders

• diff_order_book

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Bitstamp WebSocket v2 API (plus local timestamps).

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Official Bitstamp WebSocket API docs

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● Coinbase Pro

Coinbase Pro (formerly GDAX) real-time WebSocket API provides initial full order book snapshots for level2, but not for full channel. To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages. Such snapshot messages are marked with "type":"full_snapshot" and "generated":true fields. This effectively allows reconstructing historical full order book for full (L3) channel.

During recording, data integrity of order book L2 incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream - in case of detecting missed message, recording process restarts WebSocket connection and subscribes again.

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Historical data availability date ranges & available symbols

Coinbase Pro exchange historical data for all instruments is available since 2019-03-30.

Click link below to see more details.

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Recorded channels

Following real-time Coinbase Pro WebSocket channels are being recorded and available for replay:

• received

• open

• done

• match

• change

• l2update

• ticker

• snapshot

• last_match

• full_snapshot (generated channel with full order book L3 snapshots)

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Coinbase Pro WebSocket API (plus local timestamps).

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Official Coinbase Pro WebSocket API docs

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● Crypto Facilities

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream - in case of detecting missed message, recording process restarts WebSocket connection and subscribes again.

Recording of Crypto Facilities/Kraken Futures data is being done via direct API access - without Cloudflare in between - https://www.cryptofacilities.com/resources/hc/en-us/articles/360022531713-IP-whitelisting-for-direct-access.

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Historical data availability date ranges & available symbols

Crypto Facilities(aka Kraken Futures) exchange historical data for all instruments is available since 2019-03-30.

Click link below to see more details.

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Recorded channels

Following real-time Crypto Facilities WebSocket channels are being recorded and available for replay:

• trade

• trade_snapshot

• book

• book_snapshot

• ticker

• heartbeat

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Crypto Facilities WebSocket v1 API (plus local timestamps).

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Official Crypto Facilities WebSocket API docs

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● Kraken

Historical data availability date ranges & available symbols

Kraken exchange historical data for all instruments is available since 2019-06-04.

Click link below to see more details.

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Recorded channels

Following real-time Kraken WebSocket channels are being recorded and available for replay:

• ticker

• trade

• book

• spread

bookchannel has been recorded with depth=1000.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Kraken WebSocket v0.3.0 API (plus local timestamps).

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Official Kraken WebSocket API docs

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● Gemini

Historical data availability date ranges & available symbols

Gemini exchange historical data for all instruments is available since 2019-08-30.

Click link below to see more details.

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Recorded channels

Following real-time Gemini WebSocket channels are being recorded and available for replay:

• trade

• l2_updates

• auction_open

• auction_indicative

• auction_result

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Gemini WebSocket Market Data Version 2 API (plus local timestamps).

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Official Gemini WebSocket API docs

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● Bitfinex

Bitfinex historical market data API currently does not offer filtering by symbol or channel.

During recording data integrity of order book incremental updates messages is being validated using sequence numbers (SEQ_ALL option) provided by exchange real-time message stream - in case of detecting missed message, recording process restarts WebSocket connection and subscribes again.

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Historical data availability date ranges & available symbols

Bitfinex exchange historical data for high cap instruments only is available since 2019-05-23.

Click link below to see more details.

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Recorded channels

Following real-time Bitfinex WebSocket channels are being recorded and available for replay:

• trades

• book

book channel has been recorded both as book { prec=R0, freq=F0, len=100 } and book { prec=P0,freq=F0,len=100 }.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Bitfinex WebSocket v2 API with TIMESTAMP and SEQ_ALL config flags set (plus local timestamps).

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Official Bitfinex WebSocket API docs

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● Bitfinex Derivatives

Bitfinex Derivatives is in fact Bitfinex exchange, just it's historical stream contains only derivative instruments provided by Bitfinex.

Bitfinex Derivatives historical market data API currently does not offer filtering by symbol or channel.

During recording data integrity of order book incremental updates messages is being validated using sequence numbers (SEQ_ALL option) provided by exchange real-time message stream - in case of detecting missed message, recording process restarts WebSocket connection and subscribes again.

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Historical data availability date ranges & available symbols

Bitfinex Derivatives exchange historical data for all derivative instruments is available since 2019-09-14.

Click link below to see more details.

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Recorded channels

Following real-time Bitfinex Derivatives WebSocket channels are being recorded and available for replay:

• trades

• book

• status

book channel has been recorded both as book { prec=R0, freq=F0, len=100 } and book { prec=P0,freq=F0,len=100 }.

status channel provides feed about derivatives pair status, liquidations etc.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Bitfinex WebSocket v2 API with TIMESTAMP and SEQ_ALL config flags set (plus local timestamps).

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Official Bitfinex Derivatives WebSocket API docs

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● Binance DEX

Binance DEX real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

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Historical data availability date ranges & available symbols

Binance DEX exchange historical data for all instruments is available since 2019-06-04.

Click link below to see more details.

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Recorded channels

Following real-time Binance DEX WebSocket channels are being recorded and available for replay:

• trades

• marketDiff

• depthSnapshot (generated channel with full order book snapshots)

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance DEX WebSocket API (plus local timestamps).

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Official Binance DEX WebSocket API docs

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● Binance Jersey

Binance Jersey real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (U and u fields) - in case of detecting missed message, recording process restarts WebSocket connection. Similarly there is a validation if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

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Historical data availability date ranges & available symbols

Binance Jersey exchange historical data for all instruments is available since 2019-10-30.

Click link below to see more details.

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Recorded channels

Following real-time Binance Jersey WebSocket channels are being recorded and available for replay:

• trade

• aggTrade

• ticker

• depth

• depthSnapshot (generated channel with full order book snapshots)

• bookTicker

aggTrade channel is available since 2019-11-19.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance Jersey WebSocket API (plus local timestamps).

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Official Binance Jersey WebSocket API docs

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● Binance US

Binance US real-time WebSocket API does not provide initial order book snapshots . To overcome this issue we fetch initial order book snapshots from exchange REST API and store them together with rest of the WebSocket messages - top 1000 levels. Such snapshot messages are marked with "stream":"<symbol>@depthSnapshot" and "generated":true fields.

During recording, data integrity of order book incremental updates messages is being validated using sequence numbers provided by exchange real-time message stream (U and u fields) - in case of detecting missed message, recording process restarts WebSocket connection. Similarly there is a validation if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

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Historical data availability date ranges & available symbols

Binance US exchange historical data for all instruments is available since 2019-09-25.

Click link below to see more details.

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Recorded channels

Following real-time Binance US WebSocket channels are being recorded and available for replay:

• trade

• aggTrade

• ticker

• depth

• depthSnapshot (generated channel with full order book snapshots)

• bookTicker

aggTrade channel is available since 2019-11-19.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Binance US WebSocket API (plus local timestamps).

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Official Binance US WebSocket API docs

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● Huobi US

Historical data availability date ranges & available symbols

Huobi US exchange historical data for all instruments is available since 2019-11-19.

Click link below to see more details.

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Recorded channels

Following real-time Huobi US WebSocket channels are being recorded and available for replay:

• depth

• trade

• detail

depth channel was collected with step0 aggregation level (no aggregation).

Huobi US depth real-time WebSocket channel produces full order book snapshots for each book change which is very inefficient to store. To circumvent this issue we store only initial book snapshots and then incremental updates instead - incremental updates are calculated by diffing two subsequent book snapshots and provided in the same format as other depth messages, except having additional update: true flag set as in snippet below. Update with amount (second value in array) set to 0 means such level should be deleted, otherwise price level should be updated with new amount value.

{
  "ch": "market.xrpbtc.depth.step0",
  "ts": 1573657205069,
  "update": true,
  "tick": {
    "bids": [
      [
        0.00003104,
        12494
      ]
    ],
    "asks": [],
    "ts": 1573657205023,
    "version": 100938837973
  }
}

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Huobi US WebSocket API (plus local timestamps).

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Official Huobi US WebSocket API docs

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● Bybit

Historical data availability date ranges & available symbols

Bybit exchange historical data for all instruments is available since 2019-11-07.

Click link below to see more details.

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Recorded channels

Following real-time Bybit WebSocket channels are being recorded and available for replay:

• trade

• instrument_info

• orderBookL2_25

• insurance

• orderBook_200

orderBook_200 channel is available since 2019-12-24.

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Data format and sample API response

Historical raw market data format is the same as provided by real-time Bybit WebSocket API (plus local timestamps).

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Official Bybit WebSocket API docs

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● OKCoin

OKCoin exchange historical data for all instruments is available since 2019-11-19.

Click link below to see more details.

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Recorded channels

Following real-time OKCoin WebSocket channels are being recorded and available for replay:

• spot/trade

• spot/ticker

• spot/depth

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Data format and sample API response

Historical raw market data format is the same as provided by real-time OKCoin WebSocket v3 API (plus local timestamps).

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Official OKCoin WebSocket API docs

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● HitBTC

HitBTC exchange historical data for all instruments is available since 2019-11-19.

Click link below to see more details.

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Recorded channels

Following real-time HitBTC WebSocket channels are being recorded and available for replay:

• snapshotTrades

• updateTrades

• snapshotOrderbook

• updateOrderbook

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Data format and sample API response

Historical raw market data format is the same as provided by real-time HitBTC WebSocket v2 API (plus local timestamps).

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Official HitBTC WebSocket API docs

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