BitMEX

BitMEX historical market data details - available data, coverage and data collection specifics

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BitMEX

BitMEX historical market data details - available data, coverage and data collection specifics

BitMEX historical data for all it's instruments is available since 2019-03-30.

Downloadable CSV files

data type

symbol

date

trades

XBTUSD

2019-07-01

incremental_book_L2

XBTUSD

2019-07-01

book_snapshot_25

XBTUSD

2019-07-01

quotes

XBTUSD

2019-07-01

derivative_ticker

XBTUSD

2019-07-01

trades

FUTURES

2020-03-01

incremental_book_L2

FUTURES

2020-03-01

liquidations

PERPETUALS

2021-09-01

book_ticker

XBTUSD

2022-01-01

How to download all Bitmex datasets for all instruments

# requires Python >=3.6
# pip install tardis-dev

from tardis_dev import datasets, get_exchange_details
import logging

# optionally enable debug logs
# logging.basicConfig(level=logging.DEBUG)

exchange = 'bitmex'
exchange_details = get_exchange_details(exchange)   

# iterate over and download all data for every symbol
for symbol in exchange_details["datasets"]["symbols"]:
    # alternatively specify datatypes explicitly ['trades', 'incremental_book_L2', 'quotes'] etc
    # see available options https://docs.tardis.dev/downloadable-csv-files#data-types
    data_types = symbol["dataTypes"]  
    symbol_id = symbol["id"]
    from_date =  symbol["availableSince"]
    to_date = symbol["availableTo"]

    # skip groupped symbols
    if symbol_id in ['PERPETUALS', 'SPOT', 'FUTURES']:
        continue

    print(f"Downloading {exchange} {data_types} for {symbol_id} from {from_date} to {to_date}")

    # each CSV dataset format is documented at https://docs.tardis.dev/downloadable-csv-files#data-types
    # see https://docs.tardis.dev/downloadable-csv-files#download-via-client-libraries for full options docs
    datasets.download(
        exchange = exchange,
        data_types = data_types,
        from_date =  from_date,
        to_date = to_date,
        symbols = [symbol_id],
        # TODO set your API key here
        api_key = "YOUR_API_KEY",
        # path where CSV data will be downloaded into
        download_dir = "./datasets",
    )

// npm install tardis-dev
// requires node version >=12
const { downloadDatasets, getExchangeDetails } = require('tardis-dev')

;(async () => {
  const exchange = 'bitmex'
  const exchangeDetails = await getExchangeDetails(exchange)

  // iterate over and download all data for every symbol
  for (const symbol of exchangeDetails.datasets.symbols) {
    // alternatively specify dataTypes explicitly ['trades', 'incremental_book_L2', 'quotes'] etc
    // see available options https://docs.tardis.dev/downloadable-csv-files#data-types
    const dataTypes = symbol.dataTypes
    const symbolId = symbol.id

    const from = symbol.availableSince
    const to = symbol.availableTo

    // skip groupped symbols
    if (['PERPETUALS', 'SPOT', 'FUTURES'].includes(symbolId)) {
      continue
    }

    console.log(`Downloading ${exchange} ${dataTypes} for ${symbolId} from ${from} to ${to}`)

    // each CSV dataset format is documented at https://docs.tardis.dev/downloadable-csv-files#data-types
    // see https://docs.tardis.dev/downloadable-csv-files#download-via-client-libraries for full options docs
    await downloadDatasets({
      exchange,
      dataTypes,
      from,
      to,
      symbols: [symbolId],
      // TODO: set your API key here
      apiKey: 'YOUR_API_KEY',
      //  path where CSV data will be downloaded into
      downloadDir: './datasets'
    })
  }
})()

curl -o bitmex_trades_2019-11-01_XBTUSD.csv.gz https://datasets.tardis.dev/v1/bitmex/trades/2019/11/01/XBTUSD.csv.gz

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="bitmex",
    from_date="2019-07-01",
    to_date="2019-07-02",
    filters=[Channel(name="orderBookL2", symbols=["XBTUSD"])]
  )

  # messages as provided by BitMEX 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: 'bitmex',
      from: '2019-07-01',
      to: '2019-07-02',
      filters: [{ channel: 'orderBookL2', symbols: ['XBTUSD'] }],
      apiKey: 'YOUR_API_KEY'
    });

    // messages as provided by BitMEX 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/bitmex?from=2019-07-01&filters=[{"channel":"orderBookL2","symbols":["ETHUSD"]}]&offset=2'

curl -g 'localhost:8000/replay?options={"exchange":"bitmex","filters":[{"channel":"orderBookL2","symbols":["XBTUSD"]}],"from":"2019-07-01","to":"2019-07-02"}'

Captured real-time channels

Market data collection details

BitMEX servers are located in AWS eu-west-1 region (Dublin, Ireland).

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Last updated 2 years ago