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 firstname.lastname@example.org if you are interested in exclusive access to this product!
|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|
Twice per minute, we take a snapshot of the state of the order book at that particular instant. This means that in between snapshots, orders can be put and filled without us recording them. In practice, we take two snapshots per minute, in order to ensure that there is at least 1 state of the order book at any given minute with never more than 60 seconds difference between 2 snapshots.
In our current system, the snapshots are never taken at exactly 1 minute intervals due to timestamp inaccuracies across exchanges. Because there is a slight millisecond inaccuracy, if you look at timestamps from different days or even hours, it might seem random. However, we will always have at least 1 snapshot for every minute that passes.
Our default order book product is 10%. This means that we include all bids/asks placed within 10% of the mid-price at the time the order book snapshot was taken. We poll each exchange's REST API for order books, and determine the mid-price for that snapshot. Then, we calculate 10% +/- from the midprice. Finally, we remove all bids and asks from the snapshot that fall outside of this 10% range.
For most top exchanges, we are able to collect the full order book snapshot from the exchange's REST API. For other exchanges, we are only able to collect a certain number of "levels" (such as the best 20, 50, 100, 1,000 levels). For exchanges where we are able to collect the full order book snapshot, we cut the snapshot down into a "10% Snapshot" which includes all bids and asks within 10% of the midprice for that specific snapshot. For exchanges where we are unable to collect the full order book snapshot, we will still cut the snapshot down into a 10% snapshot if the bids and asks are greater than 10% from the midprice. For snapshots with bids/asks less than 10% of the midprice, we leave the snapshot as is.
On some exchanges where we are unable to collect the full snapshot, we are still able to collect the full 10% snapshot because the exchange is low volume.
We have documented each exchange's available market depth here.
Order books contain bids and asks for a currency pair, essentially giving an "under the hood" look at all orders placed by makers on an exchange before they are executed as trades (which occurs once a taker fills a maker’s bid or ask). Trades are executed transactions and result when a buy and a sell order match on an exchange. Unfortunately, exchanges do not provide order books and trades as one data set--there are no common identifying variables that match a specific trade with a specific bid or ask on the order book as there are no shared ID's. Thus, the two datasets are always collected separately as it is impossible to package them into one dataset.
Some exchanges, in particular futures exchanges like Deribit, have very little market depth depth for certain instruments. If you only see a couple of bids/asks for a given snapshot, this is likely due to natural market conditions, not a problem with our collection.
Unfortunately, exchanges do not store their own order book data. Thus, we are unable to backfill any missing order book data.
New Order Book API Endpoints
Calculate the bid slippage and ask slippage for custom buy and sell order sizes for 13,000+ markets trading on 80+ exchanges.
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 email@example.com.