Data Types

CSV column schemas, sample rows and download links

• incremental_book_L2

• book_snapshot_25

• book_snapshot_5

• trades

• options_chain

• quotes

• book_ticker

• derivative_ticker

• liquidations

CSV format details

• columns delimiter: , (comma)

• new line marker: \n (LF)

• decimal mark: . (dot)

• date time format: microseconds since epoch (https://www.epochconverter.com/)

• date time timezone: UTC

incremental_book_L2

Incremental order book L2 updates collected from exchanges' real-time WebSocket order book L2 data feeds - data as deep and granular as underlying real-time data source, please see FAQ: What is the maximum order book depth available for each supported exchange? for more details.

Learn in more detail how incremental_book_l2 CSV dataset is built from real-time data.

As exchanges' real-time feeds usually publish multiple order book level updates in a single message, you can recognize that by grouping rows by the local_timestamp field if needed.

Files may contain non-snapshot updates before the first snapshot — skip these rows until you encounter the first is_snapshot=true row. These are buffered updates received before the exchange sent the initial snapshot after a connection restart.

If you have any doubts about how to correctly reconstruct full order book state from the incremental_book_L2 CSV dataset, please see this answer or contact us.

In case you only need order book data for top 25 or top 5 levels, we provide datasets with already reconstructed snapshots for every update for those. See book_snapshot_25 and book_snapshot_5.

CSV incremental_book_L2 schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	timestamp provided by exchange in microseconds since epoch - if exchange does not provide one local_timestamp value is used as a fallback
local_timestamp	message arrival timestamp in microseconds since epoch
is_snapshot	possible values: true - if update was a part of initial order book snapshot false - if update was not a part of initial order book snapshot If last update was not a snapshot and current one is, then existing order book state must be discarded (all existing levels removed)
side	determines to which side of the order book update belongs to: bid - bid side of the book, buy orders ask - ask side of the book, sell orders
price	price identifying book level being updated
amount	updated price level amount as provided by exchange, not a delta - an amount of 0 indicates that the price level can be removed

dataset preview

https://datasets.tardis.dev/v1/deribit/incremental_book_L2/2020/04/01/BTC-PERPETUAL.csv.gzdatasets.tardis.dev

Deribit BTC-PERPETUAL incremental order book L2 updates for 2020-04-01

https://datasets.tardis.dev/v1/deribit/incremental_book_L2/2020/09/01/FUTURES.csv.gzdatasets.tardis.dev

Deribit FUTURES instruments incremental order book L2 updates for 2020-09-01

book_snapshot_25

Tick-level order book snapshots reconstructed from exchanges' real-time WebSocket order book L2 data feeds. Each row represents top 25 levels from each side of the limit order book and was recorded every time any of the tracked bids/asks top 25 levels changed.

Book snapshots are reconstructed with crossed levels removed — if a bid price >= ask price appears in exchange data, the overlapping level is discarded. See order book crossing FAQ for details.

CSV book_snapshot_25 schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	timestamp provided by exchange in microseconds since epoch - if exchange does not provide one local_timestamp value is used as a fallback
local_timestamp	message arrival timestamp in microseconds since epoch
asks[0].price, asks[0].amount, bids[0].price, bids[0].amount, ..., asks[24].price, asks[24].amount, bids[24].price, bids[24].amount	top 25 levels interleaved per level: ask price, ask amount, bid price, bid amount for each level (0-24). Asks in ascending price order, bids in descending. Empty if there aren't enough price levels.

dataset preview

https://datasets.tardis.dev/v1/bitmex/book_snapshot_25/2020/09/01/XBTUSD.csv.gzdatasets.tardis.dev

BitMEX XBTUSD top 25 levels order book snapshots for 2020-09-01

https://datasets.tardis.dev/v1/binance-futures/book_snapshot_25/2020/09/01/BTCUSDT.csv.gzdatasets.tardis.dev

Binance USDS-M Futures BTCUSDT top 25 levels order book snapshots for 2020-09-01

book_snapshot_5

Tick-level order book snapshots reconstructed from exchanges' real-time WebSocket order book L2 data feeds. Each row represents top 5 levels from each side of the limit order book and was recorded every time any of the tracked bids/asks top 5 levels changed.

Book snapshots are reconstructed with crossed levels removed — if a bid price >= ask price appears in exchange data, the overlapping level is discarded. See order book crossing FAQ for details.

CSV book_snapshot_5 schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	timestamp provided by exchange in microseconds since epoch - if exchange does not provide one local_timestamp value is used as a fallback
local_timestamp	message arrival timestamp in microseconds since epoch
asks[0].price, asks[0].amount, bids[0].price, bids[0].amount, ..., asks[4].price, asks[4].amount, bids[4].price, bids[4].amount	top 5 levels interleaved per level: ask price, ask amount, bid price, bid amount for each level (0-4). Asks in ascending price order, bids in descending. Empty if there aren't enough price levels.

dataset preview

https://datasets.tardis.dev/v1/bitmex/book_snapshot_5/2020/09/01/XBTUSD.csv.gzdatasets.tardis.dev

BitMEX XBTUSD top 5 levels order book snapshots for 2020-09-01

https://datasets.tardis.dev/v1/binance-futures/book_snapshot_5/2020/09/01/BTCUSDT.csv.gzdatasets.tardis.dev

Binance USDS-M Futures BTCUSDT top 5 levels order book snapshots for 2020-09-01

trades

Individual trades data collected from exchanges' real-time WebSocket trades data feeds.

CSV trades schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	timestamp provided by exchange in microseconds since epoch - if exchange does not provide one local_timestamp value is used as a fallback
local_timestamp	message arrival timestamp in microseconds since epoch
id	trade id as provided by exchange, empty if exchange does not provide one - different exchanges provide id's as numeric values, GUID's or other strings, and some do not provide that information at all
side	liquidity taker side (aggressor), possible values: buy - liquidity taker was buying sell - liquidity taker was selling unknown - exchange did not provide that information
price	trade price as provided by exchange
amount	trade amount as provided by exchange

dataset preview

https://datasets.tardis.dev/v1/bitmex/trades/2020/03/01/XBTUSD.csv.gzdatasets.tardis.dev

Bitmex XBTUSD trades for 2020-03-01 dataset sample

https://datasets.tardis.dev/v1/okex-futures/trades/2020/03/01/FUTURES.csv.gzdatasets.tardis.dev

OKX Futures FUTURES instruments trades for 2020-03-01 dataset sample

options_chain

Tick-level options summary info (strike prices, expiration dates, open interest, implied volatility, greeks etc.) for all active options instruments collected from exchanges' real-time WebSocket options data feeds. Options chain data is currently available for Deribit, OKX Options, Bybit Options, Binance European Options, and HTX Options.

For options_chain data type only 'OPTIONS' symbol is available (one file per day for all options instruments).

CSV options_chain schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	ticker timestamp provided by exchange in microseconds since epoch
local_timestamp	ticker message arrival timestamp in microseconds since epoch
type	option type, possible values: put call
strike_price	option strike price
expiration	option expiration date in microseconds since epoch
open_interest	current open interest, empty if exchange does not provide one
last_price	price of the last trade, empty if there weren't any trades yet
bid_price	current best bid price, empty if there aren't any bids
bid_amount	current best bid amount, empty if there aren't any bids
bid_iv	implied volatility for best bid, empty if there aren't any bids
ask_price	current best ask price, empty if there aren't any asks
ask_amount	current best ask amount, empty if there aren't any asks
ask_iv	implied volatility for best ask, empty if there aren't any asks
mark_price	mark price, empty if exchange does not provide one
mark_iv	implied volatility for mark price, empty if exchange does not provide one
underlying_index	underlying index name that option contract is based upon
underlying_price	underlying price, empty if exchange does not provide one
delta	delta value for the option, empty if exchange does not provide one
gamma	gamma value for the option, empty if exchange does not provide one
vega	vega value for the option, empty if exchange does not provide one
theta	theta value for the option, empty if exchange does not provide one
rho	rho value for the option, empty if exchange does not provide one

dataset preview

https://datasets.tardis.dev/v1/deribit/options_chain/2020/03/01/OPTIONS.csv.gzdatasets.tardis.dev

Deribit options chain for 2020-03-01

https://datasets.tardis.dev/v1/okex-options/options_chain/2020/03/01/OPTIONS.csv.gzdatasets.tardis.dev

OKX options chain for 2020-03-01

quotes

Top of the book (best bid/ask) data reconstructed from exchanges' real-time WebSocket order book L2 data feeds, with best bid/ask recorded every time the top of the book changes.

We on purpose choose this solution over native exchanges real-time quotes feeds as those vary a lot between exchanges, can be throttled, some are absent at all, often are delayed and published in batches in comparison to more granular L2 updates which are the basis for our quotes dataset.

CSV quotes schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	timestamp provided by exchange in microseconds since epoch - if exchange does not provide one local_timestamp value is used as a fallback
local_timestamp	message arrival timestamp in microseconds since epoch
ask_amount	best ask amount as provided by exchange, empty if there aren't any asks
ask_price	best ask price as provided by exchange, empty if there aren't any asks
bid_price	best bid price as provided by exchange, empty if there aren't any bids
bid_amount	best bid amount as provided by exchange, empty if there aren't any bids

dataset preview

https://datasets.tardis.dev/v1/huobi-dm-swap/quotes/2020/05/01/BTC-USD.csv.gzdatasets.tardis.dev

HTX Coin-M Perpetual BTC-USD quotes for 2020-05-01

https://datasets.tardis.dev/v1/deribit/quotes/2020/05/01/OPTIONS.csv.gzdatasets.tardis.dev

Deribit OPTIONS instruments quotes for 2020-05-01

book_ticker

Top of the book (best bid/ask) data collected directly from exchanges' real-time WebSocket best bid/offer channels (e.g., Binance bookTicker, Bybit orderbook.1). Unlike quotes which are derived from L2 order book data, book_ticker is sourced from the native exchange-provided WebSocket best bid/offer feed.

See details which exchanges support it and since when.

CSV book_ticker schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	timestamp provided by exchange in microseconds since epoch - if exchange does not provide one local_timestamp value is used as a fallback
local_timestamp	message arrival timestamp in microseconds since epoch
ask_amount	best ask amount
ask_price	best ask price
bid_price	best bid price
bid_amount	best bid amount

dataset preview

https://datasets.tardis.dev/v1/binance/book_ticker/2024/01/01/BTCUSDT.csv.gzdatasets.tardis.dev

Binance BTCUSDT book ticker for 2024-01-01

derivative_ticker

Derivative instrument ticker info (open interest, funding, mark price, index price) collected from exchanges' real-time WebSocket instruments & tickers data feeds.

Anytime any of the tracked values has changed data was added to final dataset.

CSV derivative_ticker schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	timestamp provided by exchange in microseconds since epoch - if exchange does not provide one local_timestamp value is used as a fallback
local_timestamp	message arrival timestamp in microseconds since epoch
funding_timestamp	timestamp of the next funding event in microseconds since epoch, empty if exchange does not provide one
funding_rate	funding rate for the next funding event — this value can fluctuate until the funding event occurs, the final value just before funding_timestamp is the one applied by the exchange. Empty if exchange does not provide one
predicted_funding_rate	estimated predicted funding rate for the next after closest funding event, empty if exchange does not provide one
open_interest	current open interest, empty if exchange does not provide one
last_price	last instrument price, empty if exchange does not provide one
index_price	index price of the instrument, empty if exchange does not provide one
mark_price	mark price of the instrument, empty if exchange does not provide one

dataset preview

https://datasets.tardis.dev/v1/bitmex/derivative_ticker/2019/04/01/ETHUSD.csv.gzdatasets.tardis.dev

BitMEX ETHUSD derivative ticker for 2019-04-01

https://datasets.tardis.dev/v1/ftx/derivative_ticker/2020/06/01/PERPETUALS.csv.gzdatasets.tardis.dev

FTX PERPETUALS instruments derivative ticker for 2020-06-01

liquidations

Liquidations data collected from exchanges' real-time WebSocket data feeds where available.

See details which exchanges support it and since when.

CSV liquidations schema

column name	description
exchange	exchange id, one of https://api.tardis.dev/v1/exchanges ([].id field)
symbol	instrument symbol as provided by exchange (always uppercase)
timestamp	timestamp provided by exchange in microseconds since epoch - if exchange does not provide one local_timestamp value is used as a fallback
local_timestamp	message arrival timestamp in microseconds since epoch
id	liquidation id as provided by exchange, empty if exchange does not provide one - different exchanges provide id's as numeric values, GUID's or other strings, and some do not provide that information at all
side	liquidation side, possible values: buy - short position was liquidated sell - long position was liquidated unknown - exchange did not provide that information
price	liquidation price as provided by exchange
amount	liquidation amount as provided by exchange

dataset preview

https://datasets.tardis.dev/v1/ftx/liquidations/2021/09/01/PERPETUALS.csv.gzdatasets.tardis.dev

FTX perpetual futures liquidations for 2021-09-01

https://datasets.tardis.dev/v1/bitmex/liquidations/2021/09/01/XBTUSD.csv.gzdatasets.tardis.dev

BitMEX XBTUSD liquidations for 2021-09-01