GDAX (ex Coinbase) - Historical 1% Order Books

This data set contains order books including all outstanding orders within +1% and -1% of the mid price. Order books at +/-10% are available here. Full order books are available as well upon request to hello@kaiko.com.

Major cryptocurrencies (Bitcoin, Ethereum, Litecoin..) and other altcoins trade on this exchange, versus international fiat currencies (EUR, USD,...).

  • Coverage start date, per currency pair:

    BTCEUR 2015-08-26
    BTCGBP 2016-09-22
    BTCUSD 2015-04-27
    ETHBTC 2016-05-30
    ETHEUR 2017-08-10
    ETHUSD 2016-05-30
    LTCBTC 2016-09-14
    LTCEUR 2017-08-10
    LTCUSD 2016-09-14

    All timeseries end yesterday.

    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 = 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: 
    cdn.kaiko.com/samples/Coinbase_BTCUSD_ob_1_2017_09_05.csv.gz 
    Copy paste the above link in your browser window and the download will start automatically.

    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 GDAX (ex Coinbase) and all cryptocurrrency pairs listed on the exchange. 

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