This data set contains order books including all outstanding orders within +10% and -10% of the mid price. Order books at +/-1% are available here. Full order books are available as well upon request to firstname.lastname@example.org.
Coverage start date, per currency pair:
September 2017: 1STBTC, ADXBTC, ADXETH, BCHBTC, BTCEUR, BTCHKD, BTCUSD, DGDBTC, ETHBTC, ETHEUR, ETHHKD, ETHUSD, GUPBTC, ICNBTC, MANBTC, MANETH, MCOBTC, MCOETH, PAYBTC, PAYETH, REPBTC, RLCBTC, SLTBTC, SLTETH, SNGBTC, SNGETH, SNTBTC, SNTETH, WGSBTC, WGSETH.
For the following currency pairs: BTCEUR, BTCUSD, ETHBTC, ETHEUR, we also have additional data from February 2016 to April 2016 (prior to the hack), this data is included in the data set.
Frequency: We take a snapshot of order books every minute. However over certain periods, either exchanges' APIs or the database have experienced downtime, and missing order book data cannot be restored. Order Book data can be down to ~100 files / day on some periods.
One file per day and per currency pair.
- date : Epoch timestamp millisecond
- type : a = BID and b = ASK
(Note: beware on unintuitive labeling for bid/ask!)
- price : in the quote currency (on a BTCEUR pair, the amount is in EUR)
- amount : in the base currency (on a BTC EUR pair, the amount is in BTC)
Source: Exchange's API.
Please find a sample file here: