Coinbase Pro

Coinbase Pro historical market data details - currency pairs, data coverage and data collection specifics

The market data is the property of Coinbase, Inc as applicable. All rights reserved, or otherwise licensed by Coinbase, Inc.

See Coinbase market data license restrictions that apply.

Coinbase Pro historical data for all it's currency pairs is available since 2019-03-30.

https://api.tardis.dev/v1/exchanges/coinbaseapi.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
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

# 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="coinbase",
    from_date="2019-07-01",
    to_date="2019-07-02",
    filters=[Channel(name="l2update", symbols=["BTC-USD"])]
  )

  # messages as provided by Coinbase Pro 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: 'coinbase',
      from: '2019-07-01',
      to: '2019-07-02',
      filters: [{ channel: 'l2update', symbols: ['BTC-USD'] }],
      apiKey: 'YOUR_API_KEY'
    });

    // messages as provided by Coinbase Pro 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/coinbase?from=2019-07-01&filters=[{"channel":"l2update","symbols":["BTC-USD"]}]&offset=0'

https://api.tardis.dev/v1/data-feeds/coinbase?from=2019-07-01&filters=[{%22channel%22:%22l2update%22,%22symbols%22:[%22BTC-USD%22]}]&offset=0api.tardis.dev

Example API response for Coinbase Pro historical market data request

See HTTP API docs.

cURL & tardis-machine

curl -g 'localhost:8000/replay?options={"exchange":"coinbase","filters":[{"channel":"l2update","symbols":["BTC-USD"]}],"from":"2019-07-01","to":"2019-07-02"}'

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

WelcomeExchange/Pro

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.