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-futures
api.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
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
Node.js
cURL & HTTP API
cURL & tardis-machine
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# pip install tardis-client
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import asyncio
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from tardis_client import TardisClient, Channel
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tardis_client = TardisClient(api_key="YOUR_API_KEY")
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async def replay():
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# replay method returns Async Generator
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messages = tardis_client.replay(
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exchange="binance-futures",
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from_date="2020-02-01",
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to_date="2020-02-02",
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filters=[Channel(name="depth", symbols=["btcusdt"])]
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)
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# messages as provided by Binance USDT Futures real-time stream
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async for local_timestamp, message in messages:
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print(message)
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asyncio.run(replay())
Copied!
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// npm install tardis-dev
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const { replay } = require('tardis-dev');
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async function run() {
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try {
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const messages = replay({
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exchange: 'binance-futures',
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from: '2020-02-01',
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to: '2020-02-02',
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filters: [{ channel: 'depth', symbols: ['btcusdt'] }],
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apiKey: 'YOUR_API_KEY'
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});
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// messages as provided by Binance USDT Futures real-time stream
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for await (const { localTimestamp, message } of messages) {
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console.log(localTimestamp, message);
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}
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} catch (e) {
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console.error(e);
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}
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}
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run();
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curl -g 'https://api.tardis.dev/v1/data-feeds/binance-futures?from=2020-02-01&filters=[{"channel":"depth","symbols":["btcusdt"]}]&offset=0'
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https://api.tardis.dev/v1/data-feeds/binance-futures?from=2020-02-01&filters=[{%22channel%22:%22depth%22,%22symbols%22:[%22btcusdt%22]}]&offset=0
api.tardis.dev
Example API response for Binance USDT Futures historical market data request
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curl -g 'localhost:8000/replay?options={"exchange":"binance-futures","filters":[{"channel":"depth","symbols":["btcusdt"]}],"from":"2020-02-01","to":"2020-02-02"}'
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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.
Captured real-time channels
Binance API Documentation
See Binance USDT Futures WebSocket API docs providing documentation for each captured channel's format
- Binance USDT Futures
depthchannel has been recorded with the fastest update speed API allowed at the time. It means until 2020-01-07 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). - 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":truefields.During data collection integrity of order book incremental updates is being validated using sequence numbers provided by real-time feed (puandufields) - in case of detecting missed message WebSocket connection is being restarted. We also validate if initial book snapshot fetched from REST API overlaps with receiveddepthmessages. - 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":truefields anddatafield has the same format as REST API response. -
- 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
- 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
- Global long/short ratio, sourced by querying https://binance-docs.github.io/apidocs/futures/en/#long-short-ratio every minute
- 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).
Last modified 6mo ago