Delta

Delta historical market data details - available instruments, data coverage and data collection specifics

Delta exchange historical data for all it's instruments is available since 2020-03-30.

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

2020-06-01

incremental_book_L2

BTCUSD

2020-06-01

quotes

BTCUSD

2020-06-01

book_snapshot_25

BTCUSD

2020-06-01

derivative_ticker

BTCUSD

2020-06-01

trades

PERPETUALS

2020-06-01

API Access and data format

Historical data format is the same as provided by real-time Delta Exchange 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="delta",
    from_date="2020-06-01",
    to_date="2020-06-02",
    filters=[Channel(name="l2_orderbook", symbols=["BTCUSD"])]
  )

  # messages as provided by Delta Exchange 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: 'delta',
      from: '2020-06-01',
      to: '2020-06-02',
      filters: [{ channel: 'l2_orderbook', symbols: ['BTCUSD'] }],
      apiKey: 'YOUR_API_KEY'
    });

    // messages as provided by Delta Exchange 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/delta?from=2020-06-01&filters=[{"channel":"l2_orderbook","symbols":["BTCUSD"]}]&offset=0'

See HTTP API docs.

curl -g 'localhost:8000/replay?options={"exchange":"delta","filters":[{"channel":"l2_orderbook","symbols":["BTCUSD"]}],"from":"2020-06-01","to":"2020-06-02"}'

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.

l2_orderbook
recent_trade - available until 2020-10-14, after that trades are available via all_trades channel, this is due to change in Delta exchange API which discontinued recent_trade channel support, see https://docs.delta.exchange/#new-socket-channels
recent_trade_snapshot - available until 2020-10-14
all_trades - available from 2020-10-14
mark_price
spot_price
funding_rate
funding_rate_8h
product_updates
announcements
v2/ticker - available from 2020-10-14

Market data collection details

Market data collection infrastructure for Delta Exchange is located in GCP europe-west2 region (London, UK). Real-time market data is captured via multiple WebSocket connection.

Delta exchange servers are located in AWS ap-northeast-1 region (Tokyo, Japan).

PreviousPhemex NextAscendEX (BitMax)

Last updated 1 year ago

# 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="delta", from_date="2020-06-01", to_date="2020-06-02", filters=[Channel(name="l2_orderbook", symbols=["BTCUSD"])] ) # messages as provided by Delta Exchange 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: 'delta', from: '2020-06-01', to: '2020-06-02', filters: [{ channel: 'l2_orderbook', symbols: ['BTCUSD'] }], apiKey: 'YOUR_API_KEY' }); // messages as provided by Delta Exchange real-time stream for await (const { localTimestamp, message } of messages) { console.log(localTimestamp, message); } } catch (e) { console.error(e); } } run();