Coinbase Pro

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

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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.

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.

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Captured real-time channels

• ​received​

• ​open​

• ​done​

• ​match​

• change

• ​l2update​

• ​ticker​

• ​snapshot​

• last_match

• ​full_snapshot (generated channel with full order book L3 snapshots)

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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.

# pip install tardis-client
import asyncio
from tardis_client import TardisClient, Channel
tardis_client = TardisClient(api_key="<YOUR_API_KEY>")
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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"])]
  )
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  # messages as provided by Coinbase Pro real-time stream
  async for local_timestamp, message in messages:
    print(message)
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asyncio.run(replay())

// npm install tardis-dev
const { replay } = require('tardis-dev');
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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>'
    });
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    // 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);
  }
}
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run();

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

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

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Downloadable CSV files

See CSV data exports.

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Official Coinbase Pro API docs

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