OKEx Futures

OKEx historical data for all it's futures instruments is available since 2019-03-30.

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Downloadable CSV files

See downloadable CSV files documentation if you'd like to access historical trades, order book L2 delta updates, quotes and derivative tickers datasets in daily intervals split by exchange, data type and symbol. Historical CSV datasets for the first day of each month are available to download without API key.

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API Access and data format

Historical data format is the same as provided by real-time OKEx WebSocket v3 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="okex-futures",
    from_date="2020-01-01",
    to_date="2020-01-02",
    filters=[Channel(name="futures/depth_l2_tbt", symbols=[])]
  )
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  # messages as provided by OKEx 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: 'okex-futures',
      from: '2020-01-01',
      to: '2020-01-02',
      filters: [{ channel: 'futures/depth_l2_tbt', symbols: [] }],
      apiKey: 'YOUR_API_KEY'
    });
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    // messages as provided by OKEx 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/okex-futures?from=2020-01-01&filters=[{"channel":"futures/depth_l2_tbt","symbols":[]}]&offset=0'

curl -g 'localhost:8000/replay?options={"exchange":"okex-futures","filters":[{"channel":"futures/depth_l2_tbt","symbols":[]}],"from":"2020-01-01","to":"2020-01-02"}'

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Captured real-time channels

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• ​futures/trade​

• ​futures/depth - available until 2020-01-29

• ​futures/depth_l2_tbt - available since 2019-12-05

• ​futures/mark_price​

• ​futures/ticker​

• ​index/ticker - available since 2019-09-21

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Market data collection details

​Market data collection infrastructure for OKEx Futures since 2020-05-15 is located in 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 on a single VM.

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