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      • Best bids and asks (top of book)
      • Borrows, repayments, liquidations, and withdrawals
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  • What is this dataset?
  • Update frequencies
  • File structure details

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  1. Data Feeds
  2. Level 1 Tick-Level

Best bids and asks (top of book)

What is this dataset?

All tick-level updates of the best bid and best ask on an order book (quotes).

Update frequencies

Channel
Update frequency

AWS

New CSV once a day

Azure

New CSV once a day

Google Cloud Platform

New CSV once a day

Snowflake

Not available

BigQuery

Not available

File structure details

  • File Name: [kaiko_legacy_slug]_[data_feed_code]_[date].csv.gz

    • Files are generated on a daily basis.

    • example: bw_btcusdt_2023-05-02.csv

  • Cut-off time: 00:00:00 UTC

    • We use the timestamp when exchanges send the top of book data points through websocket in order to cut-off the data points between days.

  • Column Delimeter: , (comma)

  • Decimal Mark (in numbers): . (dot)

Column
Description
Example

ts_exchange

Timestamp when the exchanges send the data. In the epoch format.

1661990400274591751

ts_collection

Timestamp when we collect the data. In the epoch format.

1661990400274591751

exchange

binc

class

The instrument class of the instrument

1676246400344

symbol

Kaiko identifier for the instrument

21779.5

type

a stands for ask, while b stands for bid. Tells which side has an update on price or size

a

price

Price displayed in quote currency

20289.2

size

Limit order size of the quotes

0.8

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Last updated 2 months ago

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