Coinbase Pro

Downloadable CSV files API Docs Historical Data Details
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Coinbase Pro
Coinbase Pro historical market data details - currency pairs, data coverage and data collection specifics
Exchange status: not available for individual order
Coinbase Pro historical data for all it's currency pairs is available since 2019-03-30. 
https://api.tardis.dev/v1/exchanges/coinbase
api.tardis.dev
See Coinbase Pro 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
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trades
BTCUSD
2019-07-01
​Download sample​
incremental_book_L2
BTCUSD
2019-07-01
​Download sample​
quotes
BTCUSD
2019-07-01
​Download sample​
trades
ETHUSD
2020-03-01
​Download sample​
incremental_book_L2
ETHUSD
2020-03-01
​Download sample​
​
API Access and data format
Historical data format is the same as provided by real-time Coinbase Pro 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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​
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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="coinbase",
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    from_date="2019-07-01",
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    to_date="2019-07-02",
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    filters=[Channel(name="l2update", symbols=["BTC-USD"])]
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  )
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​
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  # messages as provided by Coinbase Pro real-time stream
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  async for local_timestamp, message in messages:
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    print(message)
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​
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​
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asyncio.run(replay())
Copied!
See Python client docs.
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// npm install tardis-dev
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const { replay } = require('tardis-dev');
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​
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async function run() {
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  try {
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    const messages = replay({
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      exchange: 'coinbase',
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      from: '2019-07-01',
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      to: '2019-07-02',
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      filters: [{ channel: 'l2update', symbols: ['BTC-USD'] }],
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      apiKey: 'YOUR_API_KEY'
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    });
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​
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    // messages as provided by Coinbase Pro 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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​
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run();
Copied!
See Node.js client docs.
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curl -g 'https://api.tardis.dev/v1/data-feeds/coinbase?from=2019-07-01&filters=[{"channel":"l2update","symbols":["BTC-USD"]}]&offset=0'
Copied!
https://api.tardis.dev/v1/data-feeds/coinbase?from=2019-07-01&filters=[{%22channel%22:%22l2update%22,%22symbols%22:[%22BTC-USD%22]}]&offset=0
api.tardis.dev
Example API response for Coinbase Pro historical market data request
See HTTP API docs.
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curl -g 'localhost:8000/replay?options={"exchange":"coinbase","filters":[{"channel":"l2update","symbols":["BTC-USD"]}],"from":"2019-07-01","to":"2019-07-02"}'
Copied!
​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 
Welcome
Exchange
See Coinbase Pro 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.
​received​
​open​
​done​
​match​
change
​l2update
During recording, data integrity of order book L2 incremental updates messages is being validated using  sequence numbers provided by Coinbase real-time feed - in case of detecting missed message WebSocket connection is being restarted.

​ticker​
​snapshot​
last_match
​full_snapshot  - generated channel with full order book L3 snapshots
Coinbase Pro (formerly GDAX) real-time WebSocket API provides initial full order book snapshots for level2, but not for full channel. To overcome this issue we fetch initial order book snapshots from REST API and store them together with rest of the WebSocket messages. Such snapshot messages are marked with  "type":"full_snapshot" and "generated":true fields. This effectively allows reconstructing historical full order book for full (L3) channel. Validation based on sequence numbers if full_snapshot overlap with WS L3 updates has been added  2020-06-11.
​
Market data collection details
​Market data collection infrastructure for Coinbase is located in GCP europe-west2 region (London, UK). 

Real-time market data is captured via multiple WebSocket connections.
​
Coinbase Pro servers are located in AWS us-east-1 region (N. Virginia, USA).
It's WebSocket APIs are proxied through Cloudflare.
​
​
Bitfinex (high caps)
Kraken Futures
Last modified 10mo ago
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Contents
Downloadable CSV files
API Access and data format
Captured real-time channels
Market data collection details