Frequently Asked Questions
What types of data does TikDat provide?
Answer: We provide comprehensive cryptocurrency market data, including:
Trade Data: Detailed records of individual trades executed on various exchanges.
Level 2 Event Data (
l2_event): Order book updates showing individual changes to bids and asks.Level 2 Top K Data (
l2_topk): Snapshots of the top K bids and asks from the order book.
Which exchanges are covered in your data sets?
Answer: We cover data from major cryptocurrency exchanges, including but not limited to:
Binance
Bitfinex
BitMEX
Coinbase Pro
FTX
Huobi
Kraken
OKEx/OKX
And many others
For a complete list, please refer to our Data Documentation.
What instrument types are included in the data?
Answer: Our data includes various instrument types such as:
Spot Trading
Inverse Futures
Inverse Swaps
Linear Swaps
European Options
Quanto Futures
BVOL Tokens
MOVE Contracts
Explanations of these instrument types are available in our Data Documentation.
How is the data structured and formatted?
Answer: Data is stored in Tab-Separated Values (TSV) format, compressed using xz compression. Each data type has a specific schema:
Trade Data: Fields include timestamp, side, price, quantities, trade ID, and the original JSON message.
Order Book Data: Fields include timestamp, snapshot indicator, asks, bids, sequence IDs, etc.
Detailed schemas and sample records are provided in our Data Schema Guideline.
How can I access and download the data?
Answer: Data can be accessed through our self-service platform. After purchasing a plan, you can choose how you want the data to be delivered, we support directly copying data to your data warehouse or send to a specific host per your specification.
Do you offer real-time data feeds?
Answer: Yes, we offer real-time data feeds for customers who require up-to-the-millisecond data for their trading or analysis applications. Our real-time feeds cover all data types and can be accessed via WebSocket or other streaming protocols.
What is the difference between Level 2 Event (l2_event) data and Level 2 Top K (l2_topk) data?
l2_event) data and Level 2 Top K (l2_topk) data?Answer:
Key Differences
Data Type:
l2_event: Event-driven data capturing every order book change.l2_topk: Snapshot data capturing the state of the top K levels at specific intervals.
Order Book Depth:
l2_event: Can be used to reconstruct the full depth of the order book over time.l2_topk: Limited to the top K levels on both the bid and ask sides.
Data Granularity and Volume:
l2_event: High granularity with a large volume of data, suitable for detailed analysis.l2_topk: Lower granularity with less data volume, making it easier to process and store.
Use Cases:
l2_event: Ideal for high-frequency trading, in-depth market analysis, and strategies that rely on order book dynamics.l2_topk: Best for monitoring market trends, executing trades at the best available prices, and strategies that don't require full order book details.
Summary
Level 2 Event Data (
l2_event) offers a comprehensive view of the order book by capturing every event that changes it. It's essential for applications that need to understand the market's microstructure and react to every change.Level 2 Top K Data (
l2_topk) provides a more streamlined view focused on the most relevant price levels. It's suitable for strategies that prioritize simplicity and efficiency over detailed market depth.
By understanding the differences between l2_event and l2_topk data, you can choose the data type that best fits your trading strategies and analytical needs.
How do you ensure data quality and reliability?
Answer: We have robust data pipelines that are battle-tested and have been used by hedge funds and researchers. Our systems monitor data integrity in real-time, and we have failover mechanisms to ensure continuous data availability. Additionally, our commitment to open-source solutions allows for community scrutiny and continuous improvement.
Can I request data from a specific time period or exchange?
Answer: Yes, you can request data for specific time periods, exchanges, or instrument types. Our platform allows you to filter and select the exact data you need for your analysis. Only time periods are supported from our self-serve system at the moment.
Do you offer support for integrating the data into my systems?
Answer: Absolutely. We provide comprehensive documentation and support to help you integrate our data into your trading platforms, research tools, or analytical models. Our support team is available to assist with any technical questions you may have.
Are there any usage restrictions on the data?
Answer: Our data is licensed for your internal use. Redistribution or resale of the data is prohibited. For detailed terms and conditions, please refer to our Data Usage Agreement.
How frequently is the data updated?
Answer: Real-time data feeds are updated instantaneously as new data is received from exchanges. Historical data is updated daily, with new data files available shortly after the end of each trading day.
Who can I contact for further questions?
Answer: For any additional inquiries, please contact us:
Support: [email protected]
Sales: [email protected]
We hope this FAQ addresses your questions. If you need more information, please don't hesitate to contact us.
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