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Advanced cryptocurrency data

Historical data

High-quality historical raw and derived data from cryptocurrency exchanges available to download

Raw

Data collected in a raw format, exactly as it came from WebSocket API.

Excellent for precise backtesting/replaying to simulate a trading environment.

Derived

Data converted into a more straightforward form (CSV files).

Ticks, trades, order book snapshots, time or price range bars.

Extracted features from order book and executions – volumes/counts on the bid or ask side, etc.

2019

Data collected since the beginning of 2019 from top cryptocurrency markets (BTC-USD, ETH-USD, ETH-BTC).

Trades, L2 order book, liquidations, funding and more.

Advanced features

Features from order book and market executions aggregated into time bars or price range bars

Standard OHLCV format with additional advanced columns

Executions

High, low prices and their timestamps
Bought and sold volume
Number of buys and sells

Order book

High and low bid/ask prices
Volumes, counts, differences of inserted/updated/deleted orders from order book per every side (bid or ask)
Liquidity on bid, ask side
Spread between bid and ask prices

High quality and precise

Data are prepared for high-frequency trading simulations

Timestamps contain up to 6 milliseconds decimal places
Timestamps are ‘on close’ price (to avoid look ahead bias)
Every message is recorded with client and server timestamps

Data types

Provided data formats for your usage.
Structured as a single file for every day.

Raw

Unprocessed format

Most verbose data that covers everything that came from WebSocket API in a plain structure.
Only enhanced by client timestamp and sequence number.

Trades

Market executions

Every market public execution/trade as a single line in CSV file.
Executed amount in base and quote currency.

Ticks

All price changes

Every price change on top level of bid or ask side as a single line in CSV file.

Order book

Snapshots

Every order book change (bid/ask price and amount) on first level or first 10nth levels

Time bars

Aggregated by time range

Market data split into time ranges - 1 sec, 5 sec, 1 minute, 15 minutes, 1 hour, etc.
4 separate file types:
- simple: standard OHLCV bars
- advanced: OHLVC with additional features for full order book
- advanced 1-10 levels: same as previous, but for first or 10nth levels of the order book only

Price bars

Aggregated by price change

Market data split into price change ranges - 0.1%, 0.2%, 0.4%.
4 separate file types:
- simple: standard OHLCV bars
- advanced: OHLVC with additional features for full order book
- advanced 1-10 levels: same as previous, but for first or 10nth levels of the order book only