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).

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 order book data points through websocket in order to cut-off the data points between days, if the timestamps are provided by the exchanges.

  • When the timestamps are not provided by the exchanges, we use the data collection timestamp when the data points arrive at Kaiko's collection system (see below for these exchanges).

• Column Delimeter: , (comma)

• Decimal Mark (in numbers): . (dot)

The exchanges do not provide a timestamp:

• Bitfinex (bfnx) perpetual-future & spot

• Binance US (bnus) spot

• Bitvavo (bvav) spot

• CEX.IO (cexi) spot (before June 13th 2023)

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	Exchange code. See	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