Binance USDT Futures

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

Binance USDT Futures historical data for all it's instruments is available since 2019-11-17.

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

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

Data collection before 2020-05-14 suffered some issues (missing data, latency spikes) during market volatility periods. It has been circumvent by switching to Tokyo DC and using multiple WS connections for real-time market data collection.

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.

derivative_ticker open interest data is available since 2020-05-13 - date since we've started collecting that info via Binance USDT Futures REST API (open interest channel).

data type	symbol	date
trades	BTCUSDT	2020-02-01	Download sample
incremental_book_L2	BTCUSDT	2020-02-01	Download sample
quotes	BTCUSDT	2020-02-01	Download sample
book_snapshot_25	BTCUSDT	2020-09-01	Download sample
derivative_ticker	BTCUSDT	2020-02-01	Download sample
trades	PERPETUALS	2020-03-01	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 USDT 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-futures",
    from_date="2020-02-01",
    to_date="2020-02-02",
    filters=[Channel(name="depth", symbols=["btcusdt"])]
  )

  # messages as provided by Binance USDT 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-futures',
      from: '2020-02-01',
      to: '2020-02-02',
      filters: [{ channel: 'depth', symbols: ['btcusdt'] }],
      apiKey: 'YOUR_API_KEY'
    });

    // messages as provided by Binance USDT 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-futures?from=2020-02-01&filters=[{"channel":"depth","symbols":["btcusdt"]}]&offset=0'

https://api.tardis.dev/v1/data-feeds/binance-futures?from=2020-02-01&filters=[{%22channel%22:%22depth%22,%22symbols%22:[%22btcusdt%22]}]&offset=0api.tardis.dev

Example API response for Binance USDT Futures historical market data request

See HTTP API docs.

cURL & tardis-machine

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

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 USDT 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 - available since 2019-12-05

• markPrice Recorded with @1s speed since 2020-02-13 (new API feature).

• depth

  Binance USDT Futures depth channel has been recorded with the fastest update speed API allowed at the time. It means until 2020-01-07 it was depth@100ms - book updates pushed every 100ms and after that date it was depth@0ms - book updates pushed real-time (new API feature).

• depthSnapshot - generated channel with full order book snapshots Binance USDT 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, available since 2020-05-14

  Since Binance USDT 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/futures/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.

• compositeIndex - available since 2020-10-13

• topLongShortAccountRatio - generated channel, available since 2020-12-18

  Top trader long/short ratio (accounts), sourced by querying https://binance-docs.github.io/apidocs/futures/en/#top-trader-long-short-ratio-accounts every minute

• topLongShortPositionRatio - generated channel, available since 2020-12-18

  Top trader long/short ratio (positions), sourced by querying https://binance-docs.github.io/apidocs/futures/en/#top-trader-long-short-ratio-positions every minute

• globalLongShortAccountRatio - generated channel, available since 2020-12-18

  Global long/short ratio, sourced by querying https://binance-docs.github.io/apidocs/futures/en/#long-short-ratio every minute

• takerlongshortRatio - generated channel, available since 2021-12-01

  Taker buy sell volume and ratio, sourced by querying https://binance-docs.github.io/apidocs/futures/en/#taker-buy-sell-volume every minute

Market data collection details

Market data collection infrastructure for Binance USDT Futures since 2020-05-14 is located in GCP asia-northeast1 (Tokyo, Japan), before that it was located in GCP europe-west2 region (London, UK). Real-time market data is captured via multiple WebSocket connections.

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