dYdX

dYdX historical market data details - currency pairs, data coverage and data collection specifics

dYdX exchange historical data for all it's instruments is available since 2021-04-06.

Currently there's a problem with occasional order book crossed state (best bid>=best ask) when reconstructing the book from dYdX WS updates, it's something dYdX team is aware of and working on a fix.
nextFundingRate published via v3_markets channel does not exactly matching up with the funding rates that dydx end up paying for open positions, it's also something dYdX team is aware of and working on a fix.

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

BTC-USD

2021-09-01

Download sample

incremental_book_L2

BTC-USD

2021-09-01

Download sample

quotes

SOL-USD

2021-09-01

Download sample

book_snapshot 25

SOL-USD

2021-09-01

Download sample

trades

PERPETUALS

2021-09-01

Download sample

derivative_ticker

BTC-USD

2021-09-01

Download sample

API Access and data format

Historical data format is the same as provided by real-time dYdX WebSocket Market Data API v3 (wss://api.dydx.exchange/v3/ws) 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 can 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")

async def replay():
  # replay method returns Async Generator
  messages = tardis_client.replay(
    exchange="dydx",
    from_date="2021-09-01",
    to_date="2021-09-02",
    filters=[Channel(name="v3_orderbook", symbols=["BTC-USD"])]
  )

  # messages as provided by dYdX real-time stream
  async for local_timestamp, message in messages:
    print(message)


asyncio.run(replay())

See Python client docs.

// npm install tardis-dev
const { replay } = require('tardis-dev');

async function run() {
  try {
    const messages = replay({
      exchange: 'dydx',
      from: '2021-09-01',
      to: '2021-09-02',
      filters: [{ channel: 'v3_orderbook', symbols: ['BTC-USD'] }],
      apiKey: 'YOUR_API_KEY'
    });

    // messages as provided by dYdX 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 -g 'https://api.tardis.dev/v1/data-feeds/dydx?from=2021-09-01&filters=[{%22channel%22:%22v3_orderbook%22,%22symbols%22:[%22BTC-USD%22]}]&offset=0'

See HTTP API docs.

curl -g 'localhost:8000/replay?options={"exchange":"dydx","filters":[{"channel":"v3_orderbook","symbols":["BTC-USD"]}],"from":"2021-09-01","to":"2021-09-02"}'

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

Click any channel below to see HTTP API response with historical data recorded for it.

Market data collection details

Market data collection infrastructure for dYdX is located in GCP europe-west2 region (London, UK). Real-time market data is captured via multiple WebSocket connections.

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

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# 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="dydx", from_date="2021-09-01", to_date="2021-09-02", filters=[Channel(name="v3_orderbook", symbols=["BTC-USD"])] ) # messages as provided by dYdX real-time stream async for local_timestamp, message in messages: print(message) asyncio.run(replay())

// npm install tardis-dev const { replay } = require('tardis-dev'); async function run() { try { const messages = replay({ exchange: 'dydx', from: '2021-09-01', to: '2021-09-02', filters: [{ channel: 'v3_orderbook', symbols: ['BTC-USD'] }], apiKey: 'YOUR_API_KEY' }); // messages as provided by dYdX real-time stream for await (const { localTimestamp, message } of messages) { console.log(localTimestamp, message); } } catch (e) { console.error(e); } } run();