An order book is a list containing all outstanding buy or sell orders for an asset, organized by price level. An order to buy is called a ‘bid’ and an order to sell is called an ‘ask’. The exchange’s matching engine pairs up bids and asks, resulting in a trade. Kaiko provides level 2 order book snapshots, aggregated by price level.
We take two order book snapshots per minute for all instruments and cryptocurrency exchanges that we cover. Our order book snapshots include all bids and asks placed within 10% of the midprice, at the time the snapshot was taken.
We provide cryptocurrency order books for more than 80 exchanges and 18,000 currency pairs. You can browse our full coverage here.
We will soon provide historical tick-by-tick order book data. This data will be collected through exchange WebSockets, and will include all 'deltas.' We will provide both L2 deltas and L3 deltas (from exchanges that provide this data type) and corresponding order book snapshots.
Email us at hello@kaiko.com if you are interested in exclusive access to this product!
| Variable | Description |
|---|---|
| Date | Epoch timestamp in milliseconds. You can learn more about timestamps, including how to convert them to human readable form, here. |
| Type | a = ask, b = bid. An ask is an order placed to sell, a bid to buy. |
| Price | Displayed in the quote currency |
| Amount | Quantity of asset to buy or sell, displayed in the base currency |
| Delivery Channel | Order Book Availability |
|---|---|
| CSV Data Feed | All historical data and weekly CSV updates |
| REST API | 2 weeks historical data and real-time snapshot updates |
| WebSocket | (in development) |
Compare liquidity across markets with the cumulative volume of bids and asks at intervals ranging from .1% to 10% from the midprice.
Calculate the bid slippage and ask slippage for custom buy and sell order sizes for 13,000+ markets trading on 80+ exchanges.
Determine the average market depth, slippage, and spread for custom intervals of order book snapshots ranging from 1min-1d.
Raw snapshots, mid price, custom limit orders, custom aggregations.
Read our documentation here.
Detailed Description and Use Cases
An order book is a list containing all outstanding buy or sell orders for a specific currency pair, organized by price level. An order book identifies the amount of the currency pair being bid or offered at a specific price, known as the market depth. An order to buy is called a ‘bid’ and an order to sell is called an ‘ask’. The exchange’s matching engine pairs up bids and asks, resulting in a trade.
You can browse our full pairs and historical coverage using our instrument explorer here.
Crypto order book data has a variety of use cases. Historical order books can be used to simulate past market environments. They are ideal for backtesting trading strategies or researching the dynamics of sellers and buyers. Crypto order books provide an under-the-hood look at an exchange, recording all bids and asks live at a given moment. Thus, they are useful when analyzing underlying market conditions--buying pressure, selling pressure, retail action, or institutional action.
Crypto order books also help identify a currency pair's potential support or resistance levels. For example, a large amount of buy orders for a Bitcoin currency pair may indicate there is buying pressure at a certain price, thus serving as support. Order book data is dynamic and constantly updating, making it a useful gauge for live or historical market conditions.
Cryptocurrency order books are not only useful to traders. They also improve cryptoassets market transparency by showing in real-time how demand and supply originates. Order books show how many units of a currency are available, the price, and who wants to initiate the transaction.
At Kaiko, we collect order book snapshots from dozens of exchanges and thousands of currency pairs including Bitcoin, Ethereum, Litecoin, and XRP against USD. Our datasets go back until 2014, and provide the most granular look at cryptocurrency market conditions. Below, you can browse our order book datasets. If you do not see what you are looking for, reach out at hello@kaiko.com.
