Coinbase Pro

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

See Coinbase market data license restrictions that apply.

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

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

incremental_book_L2

BTCUSD

2019-07-01

quotes

BTCUSD

2019-07-01

trades

ETHUSD

2020-03-01

incremental_book_L2

ETHUSD

2020-03-01

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")

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.

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

See HTTP API docs.

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

Click any channel below to see HTTP API response with historical data recorded for it.

received
open
done
match
change
l2update
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.

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# 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())

// 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();