Raw order book snapshot

What is this dataset?

The raw data on which our Level 2 Aggregations such as market depth , bid/ask spread, and price slippage are built. Details a point-in-time view of the bids and asks on an exhange's order book to 10% depth. Used to build your own custom level 2 aggregations. The snapshot is produced every 30 seconds.

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	Data refreshes once a day
BigQuery	Data refreshes once a day

File structure details

• File Name: [kaiko_legacy_slug]_[instrument_symbol]_[date].csv

  • Files are created on a daily basis.

  • example: oe_btcusdt_2023-05-30.csv

• Cut-off time: 00:00:00 UTC

  • We use the timestamp when we send the Orderbook snapshot REST API requests to exchanges in order to cut-off the data points between days.

• Column Delimeter: , (comma)

• Decimal Mark (in numbers): . (dot)

Column	Description	Example
date	The timestamp when we send the REST API requests to exchanges in Unix Timestamp (in milliseconds)	1676246400344
type	Type(side) of the limit orders on the orderbook snapshot. a: ask. b: bid.	a
price	Quoted price	21779.5
amount	Amount of limit orders at the specific price (can be in base_asset, quote_asset or the number of contracts).
exchange BigQuery and Snowflake only	Exchange code. See Exchange codes	cbse
instrument BigQuery and Snowflake only	Exchange code. See Exchange codes	btc-usd