GDAX - Historical Order Books
Kaiko is the only company to store and distribute order books from major Bitcoin and Ethereum exchanges. We take a snapshot of order books every minute.
The order books from GDAX (ex Coinbase) include orders within +1% and -1% of the bid price.
The startdate of the timeseries for each currency pair is:
- BTCUSD : start date 25/08/2015
- BTCEUR : start date 26/08/2015
- ETHBTC : start date 30/05/2016
- ETHUSD : start date 18/05/2016
All timeseries ends yesterday.
- date : Epoch timestamp millisecond
- type : a = ASK and b = BID
- price : in the quote currency (on a BTCEUR pair, the amount is in EUR)
- amount : in the base currency (on a BTC EUR pair, the amount is in BTC)
Source : Exchanges APIs. There may be some gaps should the exchanges' API have experienced down time as they do not store historical order books.
Format : One csv file per day x currency pair.
Please find a sample file here :
(Order books at +/-10% are available as well as full order books - please reach out to email@example.com for more information)