Deribit

Deribit historical market data details - available data, coverage and data collection specifics

Deribit historical data for all its instruments (including all options) is available since 2019-03-30.

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

See Deribit 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	BTC-PERPETUAL	2019-07-01	Download sample
trades	BTC-PERPETUAL	2019-07-01	Download sample
options_chain	OPTIONS	2020-03-01	Download sample

API Access and data format

Historical data format is the same as provided by real-time Deribit WebSocket v2 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="deribit",
        from_date="2024-01-01",
        to_date="2024-01-02",
        filters=[Channel(name="book", symbols=["BTC-PERPETUAL"])],
        api_key="YOUR_API_KEY",
    ):
        # messages as provided by Deribit real-time stream
        print(message)

asyncio.run(main())

See Python client docs.

Node.js

cURL & HTTP API

cURL & tardis-machine

Captured real-time channels

https://docs.deribit.com/v2/#subscriptionsdocs.deribit.com

See Deribit 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.

• trades Trade executions stream. Collected with raw interval (no aggregation). Until 2023-10-03 included real-time liquidation info — Deribit removed the liquidation field from public trade subscriptions to avoid sharing price-sensitive data.

• book Order book incremental updates stream with sequence number validation. Collected with raw interval (no aggregation). During data collection integrity of order book incremental updates is being validated using sequence numbers provided by Deribit's real-time feed (prev_change_id) - in case of detecting missed message WebSocket connection is being restarted.

• ticker — available since 2019-10-01 Instrument ticker updates stream including price, volume, open interest, funding rate and Greeks for options. Collected with raw interval (no aggregation).

• deribit_price_index Real-time index price updates stream used across pricing, margining and settlement

• deribit_price_ranking Price ranking updates for the component exchanges used to calculate the Deribit index

• deribit_volatility_index — available since 2021-04-01 Volatility index (DVOL) updates stream

• estimated_expiration_price Estimated expiration (delivery) price updates stream

• markprice.options — available since 2019-10-01 Options mark price and implied volatility updates stream for all options under a given index

• perpetual — available since 2019-10-01 Perpetual instrument interest rate and index price updates stream. Collected with raw interval (no aggregation).

• quote — available since 2019-10-01 Best bid and ask price and size updates stream

• platform_state — available since 2019-12-31 Platform state, maintenance and price index lock notifications stream

• instrument.state.any Instrument lifecycle state updates stream (new listings, expirations, settlements)

Market data collection details

Market data collection infrastructure for Deribit is located in GCP europe-west2 region (London, UK).

Real-time market data is captured via multiple WebSocket connections to wss://www.deribit.com/ws/api/v2 (proxied via Cloudflare).

Deribit servers are located in Equinix LD4 (Slough, UK).