Kaiko Launches Historical Tick-by-Tick Order Book Data

The most granular order book data in the industry is now available for top exchanges

To read a more technically detailed version of this announcement, click here.

Today, the Kaiko team is proud to announce the launch of historical tick-by-tick order books, the most granular cryptocurrency data type in the industry. This data will initially be available for Coinbase, Bitstamp, and Bitfinex, providing the unmatched ability to replicate historical market states at tick-level precision.

This data type is designed for professional traders and researchers with a strong understanding of market dynamics and experience working with big data. Tick-level order books include every changed, added, or removed bid and ask to an order book, enabling traders to reconstruct market states at any given time and playback all changes (commonly referred to as ‘deltas’ or ‘incremental updates’) to the order book.

Since 2015, we have provided comprehensive order book snapshots taken twice per minute for more than 20,000 trading pairs. Snapshots include all bids and asks at a moment in time live on a trading pair’s order book.

Snapshots are granular enough for many of our clients. However, over the past year we have received increasing demand among our most institutional clientele for tick-level order books. Tick-level order books provide professional traders the ability to backtest trading strategies at a precision level not possible with order book snapshots.

With tick order books, traders and researchers can better project market demand and support, simulate entries and exits, identify order book imbalances, train machine learning algorithms, search for arbitrage opportunities, determine order fill probabilities, and more.

Some feedback from our clients advocating for the addition of tick-level order book data to our collection.

In liquid crypto markets, hundreds of orders are changed, added, or removed every second, which makes the stable and scalable collection of tick-level order book data more challenging than any other data type. We decided to undertake this project because we recognized that interest in tick-level precision will only increase as cryptocurrency markets mature.

The first version of our tick-level order book product comprises Level 3 (L3) data collected from three top exchanges: Coinbase, Bitstamp, and Bitfinex.

L3 data (market-by-order) includes every bid and ask added, updated, or removed from an exchange’s order book, non-aggregated. Typically, order books are represented as bids and asks aggregated by price level. Level 2 data (market-by-price-level) comprises these aggregated bids and asks; However, with L2 data it is impossible to determine whether each price level includes bids/asks from many traders or just one.

L3 data comprises every individual bid and ask added to an order book. Currently, the only exchanges that provide L3 data feeds are the three that we have begun collection for. We decided to begin collection of tick-level order books at L3 precision based on client requests, but we will shortly begin collection for L2 data feeds from a wider range of exchanges.

A tick-level order book data set includes every changed, added, or removed bid and ask. A different timestamp is assigned to each update to the book. Sequence IDs are also included for determining the exact order of events.
Each exchange formats L3 data differently, thus this data will not be normalized. This preview is from Coinbase BTC-USD. You can find an extensive documentation of this data type here, including formatting and schemas.

All L3 datasets will consist of one daily file of tick-level updates and one daily file of corresponding order book snapshots (taken once per hour). The combination of these two files will enable our clients to internally maintain and update historical market states.

Access to high quality order book data is a known pain point among professional cryptocurrency traders. At Kaiko, we are now one step closer to providing the most comprehensive order book product suite in the industry.

Request Data Sample or Full Trial

We began collecting this data on May 21. We are happy to provide this data for free for the first few weeks in order to receive feedback and perfect the product. If you are interested in trying out our tick-level order book data, please email us at hello@kaiko.com or fill out our contact form here. We can provide individual data samples or set-up a full trial of the service with weekly pushes of historical data.

We are eager for any and all feedback, including any comments about our data formatting, details about your use case, additional exchanges to begin collection for, etc.

To read a more technically detailed summary of this product, click here. To view our data dictionary and documentation, click here.

Additional Information:

Website: www.kaiko.com

Data Dictionary: https://www.kaiko.com/pages/cryptocurrency-data-types

Full Documentation: https://docs.kaiko.com/#introduction

API Documentation: https://www.kaiko.com/pages/market-data-api

Historical Data: https://www.kaiko.com/pages/historical-data

Newsletter: http://eepurl.com/c7WUVv

Research Factsheet: https://www.kaiko.com/pages/research-factsheet#subscribe

Blog: https://blog.kaiko.com/

Twitter: https://twitter.com/KaikoData

Contact Form: https://www.kaiko.com/pages/contact-kaiko

Kaiko Launches Historical Tick-by-Tick Order Book Data was originally published in Kaiko Data on Medium, where people are continuing the conversation by highlighting and responding to this story.

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