Binance

Binance historical market data details - currency pairs, data coverage and data collection specifics

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

See Binance historical data coverage: available symbols, channels, date ranges and incidents

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

During data collection integrity of order book incremental updates is being validated using sequence numbers provided by real-time feed (U and u fields) - in case of detecting missed message WebSocket connection is being restarted. We also validate if initial book snapshot fetched from REST API overlaps with received depthUpdate messages.

Captured real-time channels

Click any channel below to see HTTP API response with historical data recorded for it.

Binance depth channel has been recorded with the fastest update speed API allowed at the time. It means until 2019-08-30 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).

API Access and data format

Historical data format is the same as provided by real-time Binance WebSocket API with addition of local timestamps. If you'd like to work with normalized data format instead (same format for each exchange) see downloadable CSV files or official client libs that can perform data normalization client-side.

Python
Node.js
cURL & HTTP API
cURL & tardis-machine
Python
# pip install tardis-client
import asyncio
from tardis_client import TardisClient, Channel
tardis_client = TardisClient(api_key="<YOUR_API_KEY>")
async def replay():
# replay method returns Async Generator
messages = tardis_client.replay(
exchange="binance",
from_date="2019-12-01",
to_date="2019-12-02",
filters=[Channel(name="depth", symbols=["btcusdt"])]
)
# messages as provided by Binance real-time stream
async for local_timestamp, message in messages:
print(message)
asyncio.run(replay())

See Python client docs.

Node.js
// npm install tardis-dev
const { replay } = require('tardis-dev');
async function run() {
try {
const messages = replay({
exchange: 'binance',
from: '2019-12-01',
to: '2019-12-02',
filters: [{ channel: 'depth', symbols: ['btcusdt'] }],
apiKey: '<YOUR_API_KEY>'
});
// messages as provided by Binance real-time stream
for await (const { localTimestamp, message } of messages) {
console.log(localTimestamp, message);
}
} catch (e) {
console.error(e);
}
}
run();

See Node.js client docs.

cURL & HTTP API
curl -g 'https://api.tardis.dev/v1/data-feeds/binance?from=2019-12-01&filters=[{"channel":"depth","symbols":["btcusdt"]}]&offset=0'

See HTTP API docs.

cURL & tardis-machine
curl -g 'localhost:8000/replay?options={"exchange":"binance","filters":[{"channel":"depth","symbols":["btcusdt"]}],"from":"2019-12-01","to":"2019-12-02"}'

Tardis-machine is a locally runnable server that exposes API allowing efficiently requesting historical market data for whole time periods in contrast to HTTP API that provides data only in minute by minute slices.

See tardis-machine docs.

Downloadable CSV files

See CSV data exports.

Official Binance API docs

Binance servers are located in AWS ap-northeast-1 region (Asia Pacific, Tokyo).