Deribit

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

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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.

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Captured real-time channels

• ​book​

• ​trades​

• ​deribit_price_index​

• ​deribit_price_ranking​

• ​estimated_expiration_price​

• ​markprice.options​

• ​perpetual​

• ​ticker​

• ​quote​

• ​platform_state (available since 2019-12-31)

book, perpetual, ticker, trades channels data was all collected with raw interval - no aggregation was applied.

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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.

# 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="deribit",
    from_date="2019-07-01",
    to_date="2019-07-02",
    filters=[Channel(name="book", symbols=["BTC-PERPETUAL"])]
  )
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  # messages as provided by Deribit 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: 'deribit',
      from: '2019-07-01',
      to: '2019-07-02',
      filters: [{ channel: 'book', symbols: ['BTC-PERPETUAL'] }],
      apiKey: '<YOUR_API_KEY>'
    });
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    // messages as provided by Deribit 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/deribit?from=2019-07-01&filters=[{"channel":"book","symbols":["BTC-PERPETUAL"]}]&offset=0'

curl -g 'localhost:8000/replay?options={"exchange":"deribit","filters":[{"channel":"book","symbols":["BTC-PERPETUAL"]}],"from":"2019-07-01","to":"2019-07-02"}'

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Downloadable CSV files

See CSV data exports.

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Official Deribit API docs

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