Delta Exchange

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

Delta Exchange historical data for all its instruments is available since 2020-03-30.

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

See Delta Exchange 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
incremental_book_L2	BTCUSD	2020-06-01	Download sample
trades	BTCUSD	2020-06-01	Download sample
derivative_ticker	BTCUSD	2020-06-01	Download sample

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.

Python

# pip install tardis-dev
import asyncio
from tardis_dev import Channel, replay

async def main():
    async for local_timestamp, message in replay(
        exchange="delta",
        from_date="2023-01-01",
        to_date="2023-01-02",
        filters=[Channel(name="l2_orderbook", symbols=["BTCUSDT"])],
        api_key="YOUR_API_KEY",
    ):
        # messages as provided by Delta Exchange real-time stream
        print(message)

asyncio.run(main())

See Python client docs.

Node.js

// npm install tardis-dev
import { replay } from 'tardis-dev';

const messages = replay({
  exchange: 'delta',
  from: '2023-01-01',
  to: '2023-01-02',
  filters: [{ channel: 'l2_orderbook', symbols: ['BTCUSDT'] }],
  apiKey: 'YOUR_API_KEY'
});

// messages as provided by Delta Exchange real-time stream
for await (const { localTimestamp, message } of messages) {
  console.log(localTimestamp, message);
}

See Node.js client docs.

cURL & HTTP API

curl --compressed -g 'https://api.tardis.dev/v1/data-feeds/delta?from=2023-01-01&filters=[{"channel":"l2_orderbook","symbols":["BTCUSDT"]}]&offset=0'

https://api.tardis.dev/v1/data-feeds/delta?from=2023-01-01&filters=[{%22channel%22:%22l2_orderbook%22,%22symbols%22:[%22BTCUSDT%22]}]&offset=0api.tardis.dev

Example API response for Delta Exchange historical market data request

See HTTP API docs.

cURL & tardis-machine

curl -g 'localhost:8000/replay?options={"exchange":"delta","filters":[{"channel":"l2_orderbook","symbols":["BTCUSDT"]}],"from":"2023-01-01","to":"2023-01-02"}'

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

Delta Exchange Apidocs.delta.exchange

See Delta Exchange 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.

• recent_trade — available until 2020-10-14 Legacy trade updates stream replaced by all_trades. After that date 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

• all_trades — available since 2020-10-14 Trade executions stream

• l2_orderbook Order book snapshots and incremental updates stream

• l2_updates — available since 2023-04-01 Incremental level 2 order book updates stream

• l1_orderbook — available since 2023-04-01 Top of book snapshots stream

• mark_price Mark price updates stream

• funding_rate Funding rate updates stream

• spot_price Spot index price updates stream

• product_updates — available until 2020-10-14 Instrument definition and status updates stream

• announcements — available until 2020-10-14 Exchange announcements stream

• v2/ticker — available since 2020-10-14 Best bid/ask, last price and 24h market stats stream

• spot_30mtwap_price — available since 2023-04-01 30 minute TWAP spot price updates stream

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 connections to wss://socket.delta.exchange.

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