Delta

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

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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.

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

curl -g 'https://api.tardis.dev/v1/data-feeds/delta?from=2020-06-01&filters=[{"channel":"l2_orderbook","symbols":["BTCUSD"]}]&offset=0'

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

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Captured real-time channels

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• ​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

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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.

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