Data
Overview of our comprehensive data collection.
Overview
We collect and store comprehensive cryptocurrency market data from various exchanges through their WebSocket APIs. This data is categorized into three main types:
Trade Data (
trade)Level 2 Event Data (
l2_event)Level 2 Top K Data (
l2_topk)
Each category contains data organized by exchange and instrument type. Below is a detailed breakdown of the data we have available.
Data Structure
Our data is structured in a hierarchical directory format:
<data_type>:trade,l2_event, orl2_topk.*: Represents the date or time period the data was collected.<exchange>: The exchange from which the data was collected.<instrument_type>: The type of financial instrument.
Explanation of Instrument Types
Understanding the different financial instruments is crucial for effectively utilizing our data. Below are explanations of the various instruments included in our dataset:
Spot
Spot trading involves the immediate exchange of cryptocurrencies at current market prices. Transactions are settled "on the spot," hence the name. This is the most straightforward form of trading, where buyers and sellers exchange assets directly.
Inverse Future
An Inverse Future is a futures contract where the contract is quoted in a fiat currency (like USD), but margining and settlement are conducted in the base cryptocurrency (e.g., Bitcoin). This means:
Quoted in USD: The price of the contract is in USD.
Settled in Crypto: Profits and losses are realized in the base cryptocurrency.
Use Case: Ideal for traders who want exposure to the price movement of the cryptocurrency without holding large amounts of fiat currency.
Inverse Swap
An Inverse Swap, often called a Perpetual Inverse Swap, is similar to an inverse future but without an expiration date. Key characteristics include:
Perpetual Contract: No expiry; positions can be held indefinitely.
Funding Rate: Periodic payments between long and short positions to anchor the contract price to the underlying asset's spot price.
Settled in Crypto: Profits and losses are in the base cryptocurrency.
Linear Swap
A Linear Swap, also known as a Perpetual Linear Swap, is a perpetual futures contract quoted and settled in the same currency, typically a stablecoin like USDT or USD. Features include:
Consistent Currency: Both the contract value and settlement are in the same currency.
Simplified P&L: Easier to calculate profits and losses since they're in fiat terms.
Popular Among Traders: Reduces the complexity associated with inverse contracts.
BVOL
BVOL tokens are volatility tokens offered by some exchanges (like FTX). They allow traders to speculate on the volatility of Bitcoin without taking a directional position. There are typically two types:
BVOL: Gains value when Bitcoin's volatility increases.
iBVOL: Gains value when Bitcoin's volatility decreases.
MOVE Contracts
MOVE Contracts are unique derivatives that let traders bet on the absolute movement of a cryptocurrency's price over a specific period, regardless of direction. Characteristics include:
Time-Based: Contracts are available for daily, weekly, or quarterly periods.
Settlement: Based on the absolute value of the asset's price movement.
Ideal For: Traders expecting significant volatility but uncertain about the direction.
Example: If Bitcoin's price moves $1,000 up or down during the contract period, the MOVE contract settles based on that $1,000 movement.
European Option
A European Option is an options contract that can only be exercised at its expiration date. Unlike American options, which can be exercised at any time before expiry, European options offer:
Fixed Exercise Date: Can only be exercised on the expiry date.
Use in Hedging: Often used for hedging against future price movements.
Types:
Call Option: Right to buy an asset at a specified price.
Put Option: Right to sell an asset at a specified price.
Quanto Future
A Quanto Future is a futures contract where:
Underlying Asset: Denominated in one currency (e.g., Bitcoin).
Settlement Currency: Profits and losses are settled in another currency (e.g., USD) at a fixed exchange rate.
Eliminates Currency Risk: Traders can speculate on the asset's price without exposure to the exchange rate fluctuations between the two currencies.
Quanto Swap
A Quanto Swap is similar to a quanto future but is structured as a perpetual swap:
Perpetual Contract: No expiration date.
Fixed Exchange Rate: Settlement currency is fixed against the underlying asset.
Use Case: Allows traders to gain exposure to the underlying asset without holding it or being exposed to currency risk.
Data Type
Trade Data (trade)
trade)Trade data represents individual trades executed on exchanges, including price, quantity, and timestamp for each trade.
Exchanges and Instrument Types
We have trade data from the following exchanges and instrument types:
Binance: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
Bitfinex: Spot, Linear Swap
Bitget: Spot, Inverse Swap, Linear Swap
Bithumb: Spot
BitMEX: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap, Quanto Future, Quanto Swap
Bitstamp: Spot
BitZ: Spot
Bybit: Inverse Future, Inverse Swap, Linear Swap
Coinbase Pro: Spot
Deribit: European Option, Inverse Future, Inverse Swap
dYdX: Linear Swap
FTX: Spot, Linear Future, Linear Swap, BVOL, MOVE Contracts
Gate.io: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
Huobi: Spot, Inverse Future, Inverse Swap, Linear Swap
Kraken: Spot, Inverse Future, Inverse Swap
KuCoin: Spot, Inverse Future, Inverse Swap, Linear Swap
MEXC: Spot, Inverse Swap, Linear Swap
MXC: Spot, Inverse Swap, Linear Swap
OKEx: Spot, European Option, Inverse Future, Inverse Swap, Linear Future, Linear Swap
OKX: Spot, European Option, Inverse Future, Inverse Swap, Linear Future, Linear Swap
ZB.com: Spot, Linear Swap
ZBG: Spot, Inverse Swap, Linear Swap
Level 2 Event Data (l2_event)
l2_event)Level 2 event data provides detailed order book updates, including individual changes to bids and asks.
Exchanges and Instrument Types
We have level 2 event data from the following exchanges:
Binance: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
Bitfinex: Spot, Linear Swap
Bitget: Spot, Inverse Swap, Linear Swap
Bithumb: Spot
BitMEX: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
Bitstamp: Spot
BitZ: Spot
Bybit: Inverse Future, Inverse Swap, Linear Swap
Coinbase Pro: Spot
Deribit: European Option, Inverse Future, Inverse Swap
dYdX: Linear Swap
FTX: Spot, Linear Future, Linear Swap, BVOL, MOVE Contracts
Gate.io: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
Huobi: Spot, Inverse Future, Inverse Swap, Linear Swap
Kraken: Spot, Inverse Future, Inverse Swap
KuCoin: Spot, Inverse Future, Inverse Swap, Linear Swap
MEXC: Spot, Inverse Swap, Linear Swap
MXC: Spot, Inverse Swap, Linear Swap
OKEx: Spot, European Option, Inverse Future, Inverse Swap, Linear Future, Linear Swap
OKX: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
ZB.com: Linear Swap
ZBG: Spot, Inverse Swap, Linear Swap, Spot-New
Level 2 Top K Data (l2_topk)
l2_topk)Level 2 Top K data captures the top K bids and asks from the order book, providing a snapshot of the most competitive prices.
Exchanges and Instrument Types
We have level 2 top K data from the following exchanges:
Binance: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
Bitget: Spot, Inverse Swap, Linear Swap
BitMEX: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
Bitstamp: Spot
Deribit: Inverse Future, Inverse Swap
Gate.io: Spot, Inverse Swap, Linear Swap
Huobi: Spot, Inverse Future, Inverse Swap, Linear Swap
KuCoin: Spot, Inverse Future, Inverse Swap, Linear Swap
MEXC: Spot, Inverse Swap, Linear Swap
OKX: Spot, Inverse Future, Inverse Swap, Linear Future, Linear Swap
ZB.com: Spot, Linear Swap
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