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.

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

Downloadable CSV files

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

incremental_book_L2

BTCUSDT

2020-02-01

quotes

BTCUSDT

2020-02-01

book_snapshot_25

BTCUSDT

2020-09-01

derivative_ticker

BTCUSDT

2020-02-01

trades

PERPETUALS

2020-03-01

liquidations

PERPETUALS

2021-09-01

API Access and data format

# 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())

// 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();

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

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

Captured real-time channels

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).

Market data collection details

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

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Last updated 3 years ago