BitMEX - VWAP Trade Data


VWAP, or Volume Weighted Average Price, is an indicator of the average price of an asset over a set time period. Just like OHLCV data, it is an aggregated form of trade data. As the term implies, VWAP weighs the price against the volume. It's a useful indicator to eliminate noise in price movements for a given timespan.

We provide VWAP data for the same timeframes as our OHLCV data. The standard offered timeframes are 1 minute, 1 hour and 1 day. Custom granularities can be purchased upon request.

Major cryptocurrencies (Bitcoin, Ethereum, Litecoin, Ethereum Classic...) are included and trade on this exchange.

    • The coverage start date per currency pair listed below. We add new pairs as soon as they are listed on the exchange. 

      ADAF18 08/01/2018
      B_BLOCKSZ17 07/04/2017
      BCHF18 21/12/2017
      BCHX17 15/11/2017
      BCHZ17 22/11/2017
      DASHH18 15/12/2017
      DASHZ17 14/09/2017
      ETC7D 06/10/2017
      ETHH18 15/12/2017
      ETHZ17 14/09/2017
      LTCH18 15/12/2017
      LTCZ17 14/09/2017
      XBJZ17 14/09/2017
      XBTH18 15/12/2017
      XBTM18 02/01/2018
      XBTUSD 13/05/2016
      XBTZ17 14/09/2017
      XLMF18 16/01/2018
      XMRH18 15/12/2017
      XMRZ17 14/09/2017
      XRPH18 15/12/2017
      XRPZ17 14/09/2017
      XTZZ17 23/06/2017
      ZECH18 15/12/2017
      ZECZ17 14/09/2017


      Some historical data might be missing due to exchanges / APIs experiencing downtime or technological problems on our end. Please contact us if you have inquiries about particular date periods or pairs.

    • Format of the files (delivered without headers)

      - Timestamp: Date and opening time (UTC) of the hour as a UNIX timestamp
      - VWAP: Volume Weighted Average price in quote currency (for BTCUSD, USD is the quote currency)

      The standard offered timeframes are 1 minute, 1 hour and 1 day. Custom granularities can be purchased upon request.

    • Request a sample here

      Notes:
      - The format of the files are .csv files, which you will be able to download immediately upon purchase.
      - The file will be a Zip Archive containing your cryptocurrency trading data.
      - This bundle includes data for BitMEX and all cryptocurrency pairs listed on the exchange.  

       

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