This data set include all orders placed on GDAX during the month of June 2017, prior to the crash, for all currency pairs listed below:
Coverage start date, per currency pair:
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.
This data set contains on average of 350 files per day.
One file per day and per currency pair.
- date : Epoch timestamp millisecond
- type : a = ASK and b = BID
- 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:
- 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 GDAX (ex Coinbase)