FTX

FTX historical market data details - available instruments, data coverage and data collection specifics

Delisted exchange.

FTX historical data for all it's instruments is available since 2019-08-01 until 2022-11-13.

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.

Derivative ticker datasets are available since 2020-05-13 - date since we've started collecting that data via FTX REST API (instrument channel).

data type

symbol

date

trades

BTC-PERP

2020-01-01

Download sample

incremental_book_L2

BTC-PERP

2020-01-01

Download sample

book_snapshot_25

BTC-PERP

2020-01-01

Download sample

quotes

BTC-PERP

2020-01-01

Download sample

derivative_ticker

BTC-PERP

2020-06-01

Download sample

trades

FUTURES

2020-03-01

Download sample

incremental_book_L2

FUTURES

2020-03-01

Download sample

liquidations

PERPETUALS

2021-09-01

Download sample

How to download all FTX datasets for all instruments

See full downloadable CSV files documentation with datasets format spec, data samples and more.

# requires Python >=3.6
# pip install tardis-dev

from tardis_dev import datasets, get_exchange_details
import logging

# optionally enable debug logs
# logging.basicConfig(level=logging.DEBUG)

exchange = 'ftx'
exchange_details = get_exchange_details(exchange)   

# iterate over and download all data for every symbol
for symbol in exchange_details["datasets"]["symbols"]:
    # alternatively specify datatypes explicitly ['trades', 'incremental_book_L2', 'quotes'] etc
    # see available options https://docs.tardis.dev/downloadable-csv-files#data-types
    data_types = symbol["dataTypes"]  
    symbol_id = symbol["id"]
    from_date =  symbol["availableSince"]
    to_date = symbol["availableTo"]

    # skip groupped symbols
    if symbol_id in ['PERPETUALS', 'SPOT', 'FUTURES']:
        continue

    print(f"Downloading {exchange} {data_types} for {symbol_id} from {from_date} to {to_date}")

    # each CSV dataset format is documented at https://docs.tardis.dev/downloadable-csv-files#data-types
    # see https://docs.tardis.dev/downloadable-csv-files#download-via-client-libraries for full options docs
    datasets.download(
        exchange = exchange,
        data_types = data_types,
        from_date =  from_date,
        to_date = to_date,
        symbols = [symbol_id],
        # TODO set your API key here
        api_key = "YOUR_API_KEY",
        # path where CSV data will be downloaded into
        download_dir = "./datasets",
    )

See docs that shows all available download options (download path customization, filenames conventions and more).

// npm install tardis-dev
// requires node version >=12
const { downloadDatasets, getExchangeDetails } = require('tardis-dev')

;(async () => {
  const exchange = 'ftx'
  const exchangeDetails = await getExchangeDetails(exchange)

  // iterate over and download all data for every symbol
  for (const symbol of exchangeDetails.datasets.symbols) {
    // alternatively specify dataTypes explicitly ['trades', 'incremental_book_L2', 'quotes'] etc
    // see available options https://docs.tardis.dev/downloadable-csv-files#data-types
    const dataTypes = symbol.dataTypes
    const symbolId = symbol.id

    const from = symbol.availableSince
    const to = symbol.availableTo

    // skip groupped symbols
    if (['PERPETUALS', 'SPOT', 'FUTURES'].includes(symbolId)) {
      continue
    }

    console.log(`Downloading ${exchange} ${dataTypes} for ${symbolId} from ${from} to ${to}`)

    // each CSV dataset format is documented at https://docs.tardis.dev/downloadable-csv-files#data-types
    // see https://docs.tardis.dev/downloadable-csv-files#download-via-client-libraries for full options docs
    await downloadDatasets({
      exchange,
      dataTypes,
      from,
      to,
      symbols: [symbolId],
      // TODO: set your API key here
      apiKey: 'YOUR_API_KEY',
      //  path where CSV data will be downloaded into
      downloadDir: './datasets'
    })
  }
})()

See docs that shows all available download options (download path customization, filenames conventions and more).

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")

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"])]
  )

  # messages as provided by FTX 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: 'ftx',
      from: '2020-01-01',
      to: '2020-01-02',
      filters: [{ channel: 'orderbook', symbols: ['BTC-PERP'] }],
      apiKey: 'YOUR_API_KEY'
    });

    // messages as provided by FTX 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/ftx?from=2020-01-01&filters=[{"channel":"orderbook","symbols":["BTC-PERP"]}]&offset=0'

See HTTP API docs.

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

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.

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.

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.

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

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Last updated 2 years ago