A Market by Order level book with complete order activity to construct a full depth order book. Snapshots are mixed at regular intervals to avoid customers having to reconstruct the order book from start of day.
The data format below is available in CSV files accessible using SFTP.
Field | Description |
|---|---|
exchange | Symbol used for the exchange |
base | Base symbol |
quote | Quote symbol |
timestamp (utc) | Epoch timestamp in microseconds. |
snapshot | Holds 'true' if the entry is part of an order book snapshot. This will be 'false' for all subsequent delta updates. If an entry prior was not a snapshot and the current one is, then all previous orderbook entries should be discarded (all levels removed to rebaseline the order book). |
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Tick level trade datasets captures all the trades executed for assets listed on the exchange at a micro second granularity
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