Cryptocurrency Data Types

Trade Data

Trade Data is a general term for tick-by-tick data, or all executed transactions occurring on an exchange. Our trade datasets consist of all tick-by-tick trade data, normalized and timestamped. We began trade data collection in 2011 and add new exchanges on a continual basis. We now provide historical and real-time trade data for over 80 exchanges and 13,000 instruments.

We collect trade data by polling exchange REST API's at regular intervals. Upon collection, we normalize the data into the schema shown below. 

Trade Data Format

VariableDescription                  
IDUnique trade ID (unique to the exchange). Trade ID's come directly from the exchange. If an exchange does not provide a trade ID, we will generate it ourselves. 
ExchangeInternal Kaiko symbol used for the exchange
SymbolCurrency pair
Date Epoch timestamp in milliseconds. You can learn more about timestamps, including how to convert them to human readable form here
PriceDisplayed in the quote currency
AmountQuantity of asset bought or sold, displayed in base currency
SellTrue or False, referring to trade direction (detailed description of variable here)

Data Preview

Trade Data Samples

Exchange / InstrumentDate                  Download
Coinbase - BTC/USDOctober 4, 2019
Link
Deribit - BTCPerpetualDecember 23, 2019Link
Binance - BTC/USDTOctober 04, 2019Link
Okex - BTC/USDTOctober 01, 2019Link

Data Delivery Availability

Delivery ChannelTrade Data Availability                  
CSV Data Feed
All historical data and daily CSV updates
REST APIAll historical data and real-time updates
WebSocketLive streaming data

Additional Information

Detailed Methodology
In-Depth Description of Schema
Gaps in Data

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Order Book Snapshots

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 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.
 

Notice: Historical Order Books with 'Deltas'

We will soon provide historical tick-by-tick order book data. This data will be collected through exchange WebSockets, and will include all 'deltas,' which are updates to the order book. The CSV file will include an initial snapshot, and then the corresponding deltas to the order book on each row. We will provide both L2 deltas and L3 deltas (from exchanges that provide this data type).

Email us at hello@kaiko.com if you are interested in exclusive access to this product! 

Order Book Snapshot Data Format

VariableDescription                  
DateEpoch timestamp in milliseconds. You can learn more about timestamps, including how to convert them to human readable form, here
Typea = ask, b = bid. An ask is an order placed to sell, a bid to buy. 
PriceDisplayed in the quote currency
AmountQuantity of asset to buy or sell, displayed in the base currency

Order Book Data Preview

Order Book Data Samples

Exchange / InstrumentDate                  Download
Bitmex - XBT/USDOctober 16, 2019
Link
Kraken - BTC/USDSeptember 1, 2019Link
Coinbase - BTC/USDSeptember 1, 2019Link

Data Delivery Availability

Delivery ChannelOrder Book Availability                  
CSV Data Feed
All historical data and weekly CSV updates
REST API2 weeks historical data and real-time snapshot updates
WebSocket(in development)

Additional Information

Detailed Methodology
What is a 10% Snapshot?
What happens when an exchange doesn't provide the full order book?
Is there a way to match executed trades to the bids/asks in the order book?
Why are there barely any bids/asks for some snapshots?
Can you backfill historical order books?

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OHLCV 

OHLCV is an aggregated form of market data standing for Open, High, Low, Close and Volume. OHLCV data includes 5 data points: the Open and Close represent the first and the last price level during a specified interval. High and Low represent the highest and lowest reached price during that interval. Volume is the total amount traded during that period. This data is most frequently represented in a candlestick chart, which allows traders to perform technical analysis on intraday values.

We provide OHLCV data in granularities ranging from 1 minute to 1 day. 
 

OHLCV Data Format 

VariableDescription                  
TimestampEpoch timestamp in milliseconds. You can learn more about timestamps, including how to convert them to human readable form, here
OpenOpening price in quote currency (For BTC/USD, the price would be USD)
HighHighest price reached during time interval, in quote currency
LowLowest price reached during time interval, in quote currency
CloseClosing price reached at 
VolumeQuantity of asset bought or sold, displayed in base currency

Data Preview 

OHLCV Data Samples

Exchange / InstrumentDate                  Granularity
Download
Coinbase - BCH/USDJanuary - February, 2019
1 Hour
Link
Bitstamp - BTC/USDJan-Mar, 20201 MinuteLink
Bitflyer - BTC/USDT20191 DayLink

Data Delivery Availability

Delivery ChannelOHLCV Availability                  
CSV Data Feed
All historical data and daily CSV updates
REST APIAll historical data and real-time updates
WebSocket--

Additional Information

Detailed Methodology

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VWAP

VWAP, or Volume Weighted Average Price, is the average price of an asset over a time interval, weighted by volume. VWAP is an aggregated form of trade data. The formula for calculating VWAP is: ∑Price * Volume / ∑Volume. We provide VWAP in granularities ranging from 1 minute to 1 day.
 

VWAP Data Format

VariableDescription                  
TimestampEpoch timestamp in milliseconds. You can learn more about timestamps, including how to convert them to human readable form, here
VWAPVolume Weighted Average Price in quote currency

Data Preview VWAP

VWAP Data Samples

Exchange / InstrumentDate                  Granularity
Download
Bitflyer - BTC/USDJanuary 1-2, 2019
1 Minute
Link
FTX - ETHPerpetualJanuary, 20191 HourLink
Coinbase -ETH/BTC20191 DayLink

Data Delivery Availability

Delivery ChannelVWAP Availability                  
CSV Data Feed
All historical data and daily CSV updates
REST APIAll historical data and real-time updates
WebSocket--

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Cryptocurrency Exchange Rates

We have developed two types of data aggregations to determine a composite price for an asset across multiple exchanges. Both exchange rates let the user decide which exchanges to include or exclude in the calculation. We currently only provide this data through our API.  

Aggregated Price

Aggregated Price takes a specified currency pair and aggregates the price of that pair across all exchanges (or a custom selection of exchanges) it trades on for the requested interval of time. Our aggregation methodology takes the volume-weighted average price (VWAP) of all volume weighted average prices calculated for a given currency pair (a VWAP of VWAPs). The output data includes exactly which exchanges we pulled data from to form the aggregation, along with the individual VWAP data points used to calculate the aggregation.

You can read more about how to use this endpoint in our blog post here. You can read the API documentation here

USD Exchange Rate

This endpoint returns the price of any asset in USD. The difference between this endpoint and Aggregated Price is that Aggregated Price will not give a USD price if that asset does not natively trade against USD. This can be inconvenient if you need to standardize volume calculations across all exchanges or want to view standardized prices in a single currency. Thus, we decided to develop an exchange rate for assets into USD that do not directly trade against USD.

The USD price is calculated based on the path of the highest liquidity. Our liquidity gauge is currently the volume traded. With our API endpoint, we include an optional parameter to display the data used as input for the calculation of the USD price and the path which was followed. In cases where the most liquid path changed over time, this will be taken into account in the calculation of the price for each interval. You can read our documentation for this endpoint here

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Order Book Aggregations


We offer an entire suite of order book API endpoints for traders and researchers, built using our order book snapshots. Below, we include links to detailed posts about the products and include short descriptions of the data types.  

Order Book Snapshots: Full

This endpoint gives access to two weeks of historical 10% order book snapshots. The full endpoint returns all the following order book data: the snapshot itself (bids and asks), the depth of the order book (the cumulative volume of the base asset at 0.1%, 0.2%, 0.3%, 0.4%, 0.5%, 0.6%, 0.7%, 0.8%, 0.9%, 1%, 1.5%, 2%, 4%, 6%, 8% and 10% from the mid price), the spread, the mid price and, when the slippage parameter is not empty, the percentage of slippage for a given order size, either calculated from the best bid/ask or calculated from the mid price. 

Order Book Aggregations: Full

This endpoint gives access to two weeks of historical 10% order book aggregated data. It returns metrics on the average depth of the order book (the cummulative volume of the base asset at 0.1%, 0.2%, 0.3%, 0.4%, 0.5%, 0.6%, 0.7%, 0.8%, 0.9%, 1%, 1.5%, 2%, 4%, 6%, 8% and 10% from the mid price), the average spread, the average mid price and, when the slippage parameter is not empty, the average percentage of slippage for a given order size, either calculated from the best bid/ask or calculated from the mid price for a given interval. For each interval, the aggregates are calculated by taking the average metrics of each snapshot within that interval. For example, the aggregated 1 hour spread is calculated by taking all spreads of each snapshot within an hour and calculating the average. All data is returned in descending order.

Data Preview (same format for both 'Snapshots' and 'Aggregations')

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