Binance COIN Futures

Binance COIN Margined Futures historical market data details - instruments, data coverage and data collection specifics

Binance COIN Futures historical data for all it's instruments is available since 2020-06-16.

https://api.tardis.dev/v1/exchanges/binance-deliveryapi.tardis.dev

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

Downloadable CSV files

Historical CSV datasets for the first day of each month are available to download without API key. See downloadable CSV files documentation.

data type	symbol	date
trades	BTCUSD_200925	2020-07-01	Download sample
incremental_book_L2	BTCUSD_200925	2020-07-01	Download sample
book_snapshot_25	BTCUSD_PERP	2020-11-01	Download sample
quotes	BTCUSD_200925	2020-07-01	Download sample
derivative_ticker	BTCUSD_200925	2020-07-01	Download sample
trades	FUTURES	2020-07-01	Download sample
liquidations	PERPETUALS	2021-09-01	Download sample

API Access and data format

Historical data format is the same as provided by real-time Binance COIN Futures 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 perform data normalization client-side.

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-delivery",
    from_date="2020-07-01",
    to_date="2020-07-02",
    filters=[Channel(name="depth", symbols=["btcusd_200925"])]
  )

  # messages as provided by Binance COIN Futures 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-delivery',
      from: '2020-07-01',
      to: '2020-07-02',
      filters: [{ channel: 'depth', symbols: ['btcusd_200925'] }],
      apiKey: 'YOUR_API_KEY'
    });

    // messages as provided by Binance COIN Futures 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-delivery?from=2020-07-01&filters=[{"channel":"depth","symbols":["btcusd_200925"]}]&offset=0'

https://api.tardis.dev/v1/data-feeds/binance-delivery?from=2020-07-01&filters=[{%22channel%22:%22depth%22,%22symbols%22:[%22btcusd_200925%22]}]&offset=0api.tardis.dev

Example API response for Binance COIN Futures historical market data request

See HTTP API docs.

cURL & tardis-machine

curl -g 'localhost:8000/replay?options={"exchange":"binance-delivery","filters":[{"channel":"depth","symbols":["btcusd_200925"]}],"from":"2020-07-01","to":"2020-07-02"}'

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.

Captured real-time channels

Binance API Documentation

See Binance COIN Futures WebSocket API docs providing documentation for each captured channel's format

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

• trade
• aggTrade
• ticker
• bookTicker
• forceOrder
• markPrice @1s
• indexPrice @1s
• depth @0ms
• depthSnapshot - generated channel with full order book snapshots Binance COIN Futures 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 (pu 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 depth messages.
• openInterest - generated channel

  Since Binance COIN Futures does not offer currently real-time WebSocket open interest channel, we simulate it by fetching that info from REST API (https://binance-docs.github.io/apidocs/delivery/en/#open-interest) every 30 seconds for each instrument. Such messages are marked with "stream":"<symbol>@openInterest" and "generated":true fields and data field has the same format as REST API response.

Market data collection details

Market data collection infrastructure for Binance COIN Futures is located in GCP asia-northeast1 (Tokyo, Japan). Real-time market data is captured via multiple WebSocket connections.

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