FTX

FTX historical data for all it's instruments is available since 2019-08-01.

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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.

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API Access and data format

Historical data format is the same as provided by real-time FTX 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 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")
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async def replay():
  # replay method returns Async Generator
  messages = tardis_client.replay(
    exchange="ftx",
    from_date="2020-01-01",
    to_date="2020-01-02",
    filters=[Channel(name="orderbook", symbols=["BTC-PERP"])]
  )
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  # messages as provided by FTX 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: 'ftx',
      from: '2020-01-01',
      to: '2020-01-02',
      filters: [{ channel: 'orderbook', symbols: ['BTC-PERP'] }],
      apiKey: 'YOUR_API_KEY'
    });
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    // messages as provided by FTX 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/ftx?from=2020-01-01&filters=[{"channel":"orderbook","symbols":["BTC-PERP"]}]&offset=0'

curl -g 'localhost:8000/replay?options={"exchange":"ftx","filters":[{"channel":"orderbook","symbols":["BTC-PERP"]}],"from":"2020-01-01","to":"2020-01-02"}'

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Captured real-time channels

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• ​orderbook​

• ​trades​

• ​markets - available since 2020-05-22

• ​orderbookGrouped - available since 2020-07-21 Asorderbook channel provides data only about the orderbook's best 100 orders on either side, grouped orderbooks channel supplies orderbook data with grouped (collapsed) prices allowing retrieving lower-granularity, higher-depth information about the orderbook. We set grouping param to instruments' priceIncrement value multiplied by 10.

• ​instrument - generated channel, available since 2020-05-13 Since FTX does not offer currently real-time WebSocket instrument info channel with next funding rate, open interest or mark price data, we simulate it by fetching that info from FTX REST API (https://docs.ftx.com/#get-future and https://docs.ftx.com/#get-future-stats) every 3-5 seconds for each derivative instrument. Such messages are marked with "channel":"instrument" and "generated":true fields and data field has the same format as REST API responses.

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Market data collection details

​Market data collection infrastructure for FTX since 2020-05-14 is located in GCP asia-northeast1 (Tokyo, Japan), before that it was located in GCP europe-west2 region (London, UK). Real-time market data is captured via multiple WebSocket connections.

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