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GDAX (ex-Coinbase) - Historical bid-ask spread


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 GDAX bid-ask spread files provide the highest bid and lowest ask as well as the corresponding amounts.

The start date 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 end yesterday.

Structure : One datapoint per minute. One file per month x exchange x currency pair.

Format of the data :

  • date : unix timestamp 
  • bid price : highest bid price in quote currency (in BTCUSD - USD is the quote currency)
  • bid amount : amount for the highest bid price in base currency (in BTCUSD - BTC is the base currency)
  • ask price : lowest ask price in quote currency
  • ask amount : amount for the lowest ask price

Source of information : Exchanges API .There may be some gaps should the exchanges' API have experienced down time as they do not store historical order books.

An example of the file can be found here : https://cdn.kaiko.com/samples/Zaif_BTCJPY_bidasks_2016_09_11.csv

Order books at +/-1%, +/-10% are available as well as full order books .

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