Download the CSV files, which usually start with updates (type: u).
Ignore the updates before the 1st snapshot (type: s) that appears in the CSV file.
Please dump the locally managed order book if you encounter a snapshot between updates while maintaining the orderbook, and start fresh with the new snapshot.
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: ; (semi-colon)
Decimal Mark (in numbers): . (dot)
)
CEX.io (cexi)
List of [ask price, volume]
[[20103,0],[20207,0],[20057,1.00111351]]
bids
List of [bid price, volume]
[[19584,0],[19904,21.9973]]
If the prices in the updates exist in the locally managed order book, update the amount. The amount 0 means to remove the price level from the order book, because it is cancelled or filled.
If the prices in the updates do not exist in the locally managed order book, insert that price level in the order book.
Receiving an update that removes a price level that is not in your local order book is a normal exchange's behavior that can happen. In this case, you can just ignore the updates.
timestamp
Timestamp when the exchanges send the data or we collect the data, depending on exchanges. In the epoch format.
1661990400274591751
type
Type of the message. s: snapshot. u: update.
s
asks
Mints and burns
What is this dataset?
This data includes event data related to the addition (mint) and removal (burn) of tokens from a liquidity pool.