OKX Futures
OKX Futures historical market data details - instruments, data coverage and data collection specifics
OKX historical data for all it's futures instruments is available since 2019-03-30.
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
API Access and data format
Historical data format is the same as provided by real-time OKX WebSocket v5 API with addition of local timestamps (before 2021-12-23 it was v3 API version). 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="okex-futures",
from_date="2023-01-01",
to_date="2023-01-02",
filters=[Channel(name="books-l2-tbt", symbols=[])]
)
# messages as provided by OKX real-time stream
async for local_timestamp, message in messages:
print(message)
asyncio.run(replay())
See Python client docs.
Captured real-time channels
V3 API channels (recorded until 2021-12-23):
futures/depth - available until 2020-01-29
futures/depth_l2_tbt - available since 2019-12-05
index/ticker - available since 2019-09-21
system/status - available since 2020-07-05
V5 API channels (recorded since 2021-12-23):
trades
trades-all
books-l2-tbt
bbo-tbt
tickers
open-interest
mark-price
price-limit
status
instruments
index-tickers
long-short-account-ratio
taker-volume
estimated-price
public-block-trades
public-struc-block-trades
liquidation-orders
taker-volume-contract
long-short-account-ratio-contract-top-trader
long-short-position-ratio-contract-top-trader
long-short-account-ratio-contract
Market data collection details
Market data collection infrastructure for OKX Futures since 2022-05-04T16:45 is located in AWS HK region (Hong Kong, China, VPC colo setup), before that, starting since 2020-05-15 it was located in GCP asia-northeast1 (Tokyo, Japan) and initially it was located in GCP europe-west2 region (London, UK). Real-time market data is captured via multiple WebSocket connections.
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