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.

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

See Delta 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
trades	BTCUSD	2020-06-01	Download sample
incremental_book_L2	BTCUSD	2020-06-01	Download sample
quotes	BTCUSD	2020-06-01	Download sample
book_snapshot_25	BTCUSD	2020-06-01	Download sample
derivative_ticker	BTCUSD	2020-06-01	Download sample
trades	PERPETUALS	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-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.

Node.js

// 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 & HTTP API

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

https://api.tardis.dev/v1/data-feeds/delta?from=2020-06-01&filters=[{%22channel%22:%22l2_orderbook%22,%22symbols%22:[%22BTCUSD%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":["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

Delta Exchange Api

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.

• 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).