Description

coming soon

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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