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.
https://api.tardis.dev/v1/exchanges/dydx
api.tardis.dev
See dYdX historical data coverage: available symbols, channels, date ranges and incidents
- 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.
nextFundingRatepublished viav3_marketschannel 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.
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 | |
incremental_book_L2 | BTC-USD | 2021-09-01 | |
quotes | SOL-USD | 2021-09-01 | |
book_snapshot 25 | SOL-USD | 2021-09-01 | |
trades | PERPETUALS | 2021-09-01 | |
derivative_ticker | BTC-USD | 2021-09-01 |
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.
Python
Node.js
cURL & HTTP API
cURL & tardis-machine
# 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();
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'
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
api.tardis.dev
Example API response for dYdX historical market data request
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.
v3 dYdX Documentation
See dYdX WebSocket v3 API docs providing documentation for each captured channel's format
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 us-east-1 region (N. Virginia, USA).
Last modified 9d ago