Replaying Historical Data

HTTP and WebSocket replay endpoints with options and response formats

HTTP and WebSocket endpoints for tick-by-tick historical market data replay in both exchange-native and normalized formats.

Exchange-native market data APIs

Exchange-native market data API endpoints provide historical data in exchange-native format. The main difference between HTTP and WebSocket endpoints is the logic of requesting data:

• HTTP API accepts request options payload via query string param

• WebSocket API accepts exchanges' specific 'subscribe' messages that define what data will be then "replayed" and send to WebSocket client

HTTP GET /replay?options={options}

Returns historical market data messages in exchange-native format for given replay options query string param. Single streaming HTTP response returns data for the whole requested time period as NDJSON.

In our preliminary benchmarks on AMD Ryzen 7 3700X, 64GB RAM, HTTP /replay API endpoint was returning ~700 000 messages/s (already locally cached data).

A single replay request can fan out into many upstream /data-feeds requests. Running multiple concurrent replay processes can quickly exceed API rate limits, causing stalls without visible error messages.

Python

import asyncio
import aiohttp
import json
import urllib.parse


async def replay_via_tardis_machine(replay_options):
    timeout = aiohttp.ClientTimeout(total=0)

    async with aiohttp.ClientSession(timeout=timeout) as session:
        # url encode as json object options
        encoded_options = urllib.parse.quote_plus(json.dumps(replay_options))

        # assumes tardis-machine HTTP API running on localhost:8000
        url = f"http://localhost:8000/replay?options={encoded_options}"

        async with session.get(url) as response:
            # otherwise we may get line to long errors
            response.content._high_water = 100_000_000

            # returned data is in NDJSON format http://ndjson.org/
            # each line is separate message JSON encoded
            async for line in response.content:
                yield line


async def main():
    lines = replay_via_tardis_machine(
        {
            "exchange": "binance",
            "from": "2024-03-01",
            "to": "2024-03-02",
            "filters": [
                {"channel": "trade", "symbols": ["btcusdt"]},
                {"channel": "depth", "symbols": ["btcusdt"]},
            ],
        }
    )

    async for line in lines:
        message = json.loads(line)
        # localTimestamp string marks timestamp when message was received
        # message is a message dict as provided by exchange real-time stream
        print(message["localTimestamp"], message["message"])


asyncio.run(main())

See also official Tardis.dev Python client library.

Node.js

import split2 from 'split2'
import { Readable } from 'stream'


const serialize = options => {
  return encodeURIComponent(JSON.stringify(options))
}

async function* replayViaTardisMachine(options) {
  // assumes tardis-machine HTTP API running on localhost:8000
  const url = `http://localhost:8000/replay?options=${serialize(options)}`
  const response = await fetch(url)

  // returned data is in NDJSON format http://ndjson.org/
  // each line is separate message JSON encoded

  // split response body stream by new lines
  const lines = Readable.fromWeb(response.body).pipe(split2())

  for await (const line of lines) {
    yield line
  }
}

const options = {
  exchange: 'binance',
  from: '2024-03-01',
  to: '2024-03-02',
  filters: [
    {
      channel: 'trade',
      symbols: ['btcusdt']
    },
    {
      channel: 'depth',
      symbols: ['btcusdt']
    }
  ]
}

const lines = replayViaTardisMachine(options)

for await (const line of lines) {
  // localTimestamp string marks timestamp when message was received
  // message is a message object as provided by exchange real-time stream
  const { message, localTimestamp } = JSON.parse(line)

  console.log(message, localTimestamp)
}

See also official Tardis.dev Node.js client library.

cURL

curl -g 'localhost:8000/replay?options={"exchange":"binance","filters":[{"channel":"trade","symbols":["btcusdt"]},{"channel":"depth","symbols":["btcusdt"]}],"from":"2024-03-01","to":"2024-03-02"}'

http://localhost:8000/replay?options={%22exchange%22:%22binance%22,%22filters%22:[{%22channel%22:%22trade%22,%22symbols%22:[%22btcusdt%22]},{%22channel%22:%22depth%22,%22symbols%22:[%22btcusdt%22]}],%22from%22:%222024-03-01%22,%22to%22:%222024-03-02%22}localhost

Click to see API response in the browser as long as tardis-machine is running on localhost:8000

Your preferred language

We're working on providing more samples and dedicated client libraries in different languages, but in the meanwhile to consume HTTP /replay API responses in your language of choice, you should:

1. Provide url encoded JSON options object via options query string param when sending HTTP request

2. Parse HTTP response stream line by line as it's returned - buffering in memory whole response may result in slow performance and memory overflows

3. Parse each response line as JSON containing messages in exchange-native format

Replay options

HTTP /replay endpoint accepts required options query string param in url encoded JSON format.

name	type	default	description
exchange	string	-	requested exchange id - use /exchanges HTTP API to get list of valid exchanges ids
filters	{channel:string, symbols?: string[]}[]	[]	optional filters of requested historical data feed - check historical data details for each exchange and /exchanges/:exchange HTTP API to get allowed channels and symbols for requested exchange
from	string	-	replay period start date (UTC) in a ISO 8601 format, e.g., 2019-04-01
to	string	-	replay period end date (UTC) in a ISO 8601 format, e.g., 2019-04-02
withDisconnects	boolean (optional)	undefined	when set to true, response includes empty lines (\n) that mark events when real-time WebSocket connection that was used to collect the historical data got disconnected
waitWhenDataNotYetAvailable	boolean or number (optional)	undefined	when set to true, waits for data that is not yet available — useful when replaying near real-time data. Defaults to a 30-minute offset. When set to a number, specifies the offset in minutes (minimum effective value is 6 minutes).
autoCleanup	boolean (optional)	undefined	when set to true, automatically removes cached data from disk after it has been processed. Not safe for concurrent replay — see warning
withMicroseconds	boolean (optional)	undefined	when set to true, localTimestamp in response is returned with microsecond precision

When symbols array is empty or omitted in filters, data for all active symbols is returned.

Disconnect markers: An empty line in raw replay (or a disconnect message in normalized replay) indicates that the WebSocket connection used during data collection was interrupted. After a reconnect, exchanges typically re-send initial snapshots, so duplicate snapshot messages are expected following a disconnect marker. Disconnect markers apply to the entire connection, not individual channels.

autoCleanup concurrency: avoid using autoCleanup with concurrent replay — the cache path is keyed by exchange, a hash of the filters, and the calendar day, so any concurrent jobs sharing those three components will conflict (even with non-overlapping time windows within the same day) and cause file-not-found errors. Clean the cache manually after all jobs complete instead.

Response format

Streamed HTTP response provides data in NDJSON format (new line delimited JSON) - each response line is a JSON with market data message in exchange-native format plus local timestamp:

• localTimestamp - date when message has been received in ISO 8601 format

• message - JSON with exactly the same format as provided by requested exchange real-time feeds

Sample response

{"localTimestamp":"2024-03-01T00:00:00.001409Z","message":{"stream":"btcusdt@trade","data":{"e":"trade","E":1709251199998,"s":"BTCUSDT","t":3445374963,"p":"61130.98000000","q":"0.00145000","b":25230662315,"a":25230662808,"T":1709251199998,"m":true,"M":true}}}
{"localTimestamp":"2024-03-01T00:00:00.001417Z","message":{"stream":"btcusdt@trade","data":{"e":"trade","E":1709251199999,"s":"BTCUSDT","t":3445374964,"p":"61130.98000000","q":"0.00182000","b":25230662315,"a":25230662809,"T":1709251199998,"m":true,"M":true}}}
{"localTimestamp":"2024-03-01T00:00:00.001423Z","message":{"stream":"btcusdt@trade","data":{"e":"trade","E":1709251199999,"s":"BTCUSDT","t":3445374965,"p":"61130.98000000","q":"0.00034000","b":25230662315,"a":25230662810,"T":1709251199998,"m":true,"M":true}}}
{"localTimestamp":"2024-03-01T00:00:00.001429Z","message":{"stream":"btcusdt@trade","data":{"e":"trade","E":1709251200000,"s":"BTCUSDT","t":3445374966,"p":"61130.98000000","q":"0.00182000","b":25230662315,"a":25230662811,"T":1709251199999,"m":true,"M":true}}}
{"localTimestamp":"2024-03-01T00:00:00.006791Z","message":{"stream":"btcusdt@trade","data":{"e":"trade","E":1709251200000,"s":"BTCUSDT","t":3445374967,"p":"61130.98000000","q":"0.00038000","b":25230662315,"a":25230662812,"T":1709251199999,"m":true,"M":true}}}

WebSocket /ws-replay?exchange={exchange}&from={fromDate}&to={toDate}

Exchanges' WebSocket APIs are designed to publish real-time market data feeds, not historical ones. Tardis-machine WebSocket /ws-replay API fills that gap and allows "replaying" historical market data from any given past point in time with the same data format and 'subscribe' logic as real-time exchanges' APIs. In many cases existing exchanges' WebSocket clients can be used to connect to this endpoint just by changing URL, and receive historical market data in exchange-native format for date ranges specified in URL query string params.

After connection is established, client has 2 seconds to send subscriptions payloads and then market data replay starts.

If two clients connect at the same time requesting data for different exchanges and provide the same session key via query string param, then data being send to those clients will be synchronized (by local timestamp).

In our preliminary benchmarks on AMD Ryzen 7 3700X, 64GB RAM, WebSocket /ws-replay API endpoint was sending ~500 000 messages/s (already locally cached data).

Python

import asyncio
import aiohttp
import json


async def main():
    WS_REPLAY_URL = "ws://localhost:8001/ws-replay"
    URL = f"{WS_REPLAY_URL}?exchange=binance&from=2024-03-01&to=2024-03-02"

    async with aiohttp.ClientSession() as session:
        async with session.ws_connect(URL) as websocket:

            await websocket.send_str(
                json.dumps(
                    {
                        "method": "SUBSCRIBE",
                        "params": ["btcusdt@trade", "btcusdt@depth@100ms"],
                        "id": 1,
                    }
                )
            )

            async for msg in websocket:
                print(msg.data)


asyncio.run(main())

You can also try using existing WebSocket client by changing URL endpoint to the one shown in the example above.

Node.js

import WebSocket from 'ws'


const WS_REPLAY_URL = 'ws://localhost:8001/ws-replay'

const ws = new WebSocket(
  `${WS_REPLAY_URL}?exchange=binance&from=2024-03-01&to=2024-03-02`
)

ws.onmessage = message => {
  console.log(message.data)
}

ws.onopen = () => {
  ws.send(
    JSON.stringify({
      method: 'SUBSCRIBE',
      params: ['btcusdt@trade', 'btcusdt@depth@100ms'],
      id: 1
    })
  )
}

You can also use existing WebSocket client by changing URL endpoint to the one shown in the example above.

Your preferred language

As long as you already use existing WebSocket client that connects to and consumes real-time exchange market data feed, in most cases you can use it to connect to /ws-replay API as well just by changing URL endpoint.

Query string params

name	type	default	description
exchange	string	-	requested exchange id - use /exchanges HTTP API to get list of valid exchanges ids
from	string	-	replay period start date (UTC) in a ISO 8601 format, e.g., 2019-04-01
to	string	-	replay period end date (UTC) in a ISO 8601 format, e.g., 2019-04-02
session	string (optional)	undefined	optional replay session key. When specified and multiple clients use it when connecting at the same time then data being send to those clients is synchronized (by local timestamp).

Normalized market data APIs

Normalized market data API endpoints provide data in unified format across all supported exchanges. Both HTTP /replay-normalized and WebSocket /ws-replay-normalized APIs accept the same replay options payload via query string param. It's mostly a matter of preference when choosing which protocol to use, but WebSocket /ws-replay-normalized API also has its real-time counterpart /ws-stream-normalized, which connects directly to exchanges' real-time WebSocket APIs. This opens the possibility of seamless switching between real-time streaming and historical normalized market data replay.

HTTP GET /replay-normalized?options={options}

Returns historical market data for data types specified via query string. Single streaming HTTP response returns data for the whole requested time period as NDJSON. See supported data types which include normalized trade, order book change, customizable order book snapshots etc.

In our preliminary benchmarks on AMD Ryzen 7 3700X, 64GB RAM, HTTP /replay-normalized API endpoint was returning ~100 000 messages/s and ~50 000 messages/s when order book snapshots were also requested.

Python

import asyncio
import aiohttp
import json
import urllib.parse


async def replay_normalized_via_tardis_machine(replay_options):
    timeout = aiohttp.ClientTimeout(total=0)

    async with aiohttp.ClientSession(timeout=timeout) as session:
        # url encode as json object options
        encoded_options = urllib.parse.quote_plus(json.dumps(replay_options))

        # assumes tardis-machine HTTP API running on localhost:8000
        url = f"http://localhost:8000/replay-normalized?options={encoded_options}"

        async with session.get(url) as response:
            # otherwise we may get line to long errors
            response.content._high_water = 100_000_000

            # returned data is in NDJSON format http://ndjson.org/ streamed
            # each line is separate message JSON encoded
            async for line in response.content:
                yield line


async def main():
    lines = replay_normalized_via_tardis_machine(
        {
            "exchange": "binance",
            "from": "2024-03-01",
            "to": "2024-03-02",
            "symbols": ["btcusdt"],
            "withDisconnectMessages": True,
            # other available data types examples:
            # 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
            # 'trade_bar_10ms', 'trade_bar_10s'
            "dataTypes": ["trade", "book_change", "book_snapshot_10_100ms"],
        }
    )

    async for line in lines:
        normalized_message = json.loads(line)
        print(normalized_message)


asyncio.run(main())

Node.js

import split2 from 'split2'
import { Readable } from 'stream'


const serialize = options => {
  return encodeURIComponent(JSON.stringify(options))
}

async function* replayNormalizedViaTardisMachine(options) {
  // assumes tardis-machine HTTP API running on localhost:8000
  const url = `http://localhost:8000/replay-normalized?options=${serialize(
    options
  )}`
  const response = await fetch(url)

  // returned data is in NDJSON format http://ndjson.org/
  // each line is separate message JSON encoded

  // split response body stream by new lines
  const lines = Readable.fromWeb(response.body).pipe(split2())

  for await (const line of lines) {
    yield line
  }
}

const options = {
  exchange: 'binance',
  from: '2024-03-01',
  to: '2024-03-02',
  symbols: ['btcusdt'],
  withDisconnectMessages: true,
  // other available data types examples:
  // 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
  // 'trade_bar_10ms', 'trade_bar_10s'
  dataTypes: ['trade', 'book_change', 'book_snapshot_10_100ms']
}

const lines = replayNormalizedViaTardisMachine(options)

for await (const line of lines) {
  const normalizedMessage = JSON.parse(line)

  console.log(normalizedMessage)
}

See also official Tardis.dev Node.js client library.

cURL

curl -g 'http://localhost:8000/replay-normalized?options={"exchange":"binance","from":"2024-03-01","to":"2024-03-02","symbols":["btcusdt"],"withDisconnectMessages":true,"dataTypes":["trade","book_change","book_snapshot_10_100ms"]}'

http://localhost:8000/replay-normalized?options={%22exchange%22:%22binance%22,%22from%22:%222024-03-01%22,%22to%22:%222024-03-02%22,%22symbols%22:[%22btcusdt%22],%22withDisconnectMessages%22:true,%22dataTypes%22:[%22trade%22,%22book_change%22,%22book_snapshot_10_100ms%22]}localhost

Click to see API response in the browser as long as tardis-machine is running on localhost:8000

Your preferred language

We're working on providing more samples and dedicated client libraries in different languages, but in the meanwhile to consume HTTP /replay-normalized API responses in your language of choice, you should:

1. Provide URL-encoded JSON options via the options query string parameter when sending an HTTP request

2. Parse HTTP response stream line by line as it's returned - buffering in memory whole response may result in slow performance and memory overflows

3. Parse each response line as JSON containing normalized data messages.

Replay normalized options

HTTP /replay-normalized endpoint accepts required options query string param in url encoded JSON format.

Options JSON needs to be an object or an array of objects with fields as specified below. If array is provided, then data requested for multiple exchanges is returned synchronized (by local timestamp).

Synchronized multi-exchange example

The same options array format works for both HTTP /replay-normalized and WebSocket /ws-replay-normalized. For example, to replay synchronized normalized trades from Binance and OKX for the same symbol and time range:

curl -g 'http://localhost:8000/replay-normalized?options=[{"exchange":"binance","from":"2024-03-01","to":"2024-03-02","symbols":["btcusdt"],"dataTypes":["trade"]},{"exchange":"okex","from":"2024-03-01","to":"2024-03-02","symbols":["btcusdt"],"dataTypes":["trade"]}]'

Each response line is still a single normalized message, but messages from both exchanges are merged into one stream and ordered by localTimestamp.

name	type	default	description
exchange	string	-	requested exchange id - use /exchanges HTTP API to get list of valid exchanges ids
symbols	string[] (optional)	undefined	optional symbols of requested historical data feed - use /exchanges/:exchange HTTP API to get allowed symbols for requested exchange
from	string	-	replay period start date (UTC) in a ISO 8601 format, e.g., 2019-04-01
to	string	-	replay period end date (UTC) in a ISO 8601 format, e.g., 2019-04-02
dataTypes	string[]	-	array of normalized data types for which historical data will be returned
withDisconnectMessages	boolean (optional)	undefined	when set to true, response includes disconnect messages that mark events when real-time WebSocket connection that was used to collect the historical data got disconnected
waitWhenDataNotYetAvailable	boolean or number (optional)	undefined	when set to true, waits for data that is not yet available — useful when replaying near real-time data. Defaults to a 30-minute offset. When set to a number, specifies the offset in minutes (minimum effective value is 6 minutes).
autoCleanup	boolean (optional)	undefined	when set to true, automatically removes cached data from disk after it has been processed. Not safe for concurrent replay — see warning

Response format & sample messages

See Output Data Types.

WebSocket /ws-replay-normalized?options={options}

Sends normalized historical market data for data types specified via query string. See supported data types which include normalized trade, order book change, customizable order book snapshots etc.

WebSocket /ws-stream-normalized is the real-time counterpart of this API endpoint, providing real-time market data in the same format, but not requiring API key as connects directly to exchanges' real-time WebSocket APIs.

Python

import asyncio
import aiohttp
import json
import urllib.parse


async def main():
    replay_options = {
        "exchange": "binance",
        "from": "2024-03-01",
        "to": "2024-03-02",
        "symbols": ["btcusdt"],
        "withDisconnectMessages": True,
        # other available data types examples:
        # 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
        # 'trade_bar_10ms', 'trade_bar_10s'
        "dataTypes": ["trade", "book_change", "book_snapshot_10_100ms"],
    }

    options = urllib.parse.quote_plus(json.dumps(replay_options))

    URL = f"ws://localhost:8001/ws-replay-normalized?options={options}"

    async with aiohttp.ClientSession() as session:
        async with session.ws_connect(URL) as websocket:
            async for msg in websocket:
                print(msg.data)


asyncio.run(main())

Node.js

import WebSocket from 'ws'


const serialize = options => {
  return encodeURIComponent(JSON.stringify(options))
}

const replayOptions = {
  exchange: 'binance',
  from: '2024-03-01',
  to: '2024-03-02',
  symbols: ['btcusdt'],
  withDisconnectMessages: true,
  // other available data types examples:
  // 'book_snapshot_10_100ms', 'derivative_ticker', 'quote',
  // 'trade_bar_10ms', 'trade_bar_10s'
  dataTypes: ['trade', 'book_change', 'book_snapshot_10_100ms']
}

const options = serialize(replayOptions)
const URL = `ws://localhost:8001/ws-replay-normalized?options=${options}`
const ws = new WebSocket(URL)

ws.onmessage = message => {
  console.log(message.data)
}

See also official Tardis.dev Node.js client library.

Your preferred language

We're working on providing more samples and dedicated client libraries in different languages, but in the meanwhile to consume WebSocket /ws-replay-normalized API responses in your language of choice, you should:

1. Provide url encoded JSON options via options query string param when connecting to

   WebSocket /ws-replay-normalized endpoint

2. Parse each received WebSocket message as JSON containing normalized data.

Replay normalized options

WebSocket /ws-replay-normalized endpoint accepts required options query string param in url encoded JSON format.

Options JSON needs to be an object or an array of objects with fields as specified below. If array is provided, then data requested for multiple exchanges is sent synchronized (by local timestamp). See the multi-exchange example above.

name	type	default	description
exchange	string	-	requested exchange id - use /exchanges HTTP API to get list of valid exchanges ids
symbols	string[] (optional)	undefined	optional symbols of requested historical data feed - use /exchanges/:exchange HTTP API to get allowed symbols for requested exchange
from	string	-	replay period start date (UTC) in a ISO 8601 format, e.g., 2019-04-01
to	string	-	replay period end date (UTC) in a ISO 8601 format, e.g., 2019-04-02
dataTypes	string[]	-	array of normalized data types for which historical data will be provided
withDisconnectMessages	boolean (optional)	undefined	when set to true, sends also disconnect messages that mark events when real-time WebSocket connection that was used to collect the historical data got disconnected
waitWhenDataNotYetAvailable	boolean or number (optional)	undefined	when set to true, waits for data that is not yet available — useful when replaying near real-time data. Defaults to a 30-minute offset. When set to a number, specifies the offset in minutes (minimum effective value is 6 minutes).
autoCleanup	boolean (optional)	undefined	when set to true, automatically removes cached data from disk after it has been processed. Not safe for concurrent replay — see warning

In our preliminary benchmarks on AMD Ryzen 7 3700X, 64GB RAM, WebSocket /ws-replay-normalized API endpoint was returning ~70 000 messages/s and ~40 000 messages/s when order book snapshots were also requested.

Response format & sample messages

See Output Data Types.